Local linear estimator for stochastic differential equations driven by -stable Lévy motions

DOI10.1007/S11425-013-4628-7zbMATH Open1396.62064OpenAlexW1561054709MaRDI QIDQ476746FDOQ476746

Authors: Jiangsheng Yi, Zhengyan Lin, Yu Ping Song 

Publication date: 2 December 2014

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-013-4628-7

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zbMATH Keywords

consistencycentral limit theorembias reductionlocal linear estimatordrift coefficientstable Lévy motion

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (7)

• Nonparametric estimation of periodic signal disturbed by α-stable noises
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions
• Nonparametric Gaussian inference for stable processes
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion
• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions

Uses Software

• KernSmooth

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