Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
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Publication:476746
DOI10.1007/s11425-013-4628-7zbMath1396.62064MaRDI QIDQ476746
Jiangsheng Yi, Zheng Yan 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
consistency; bias reduction; central limit theorem; local linear estimator; drift coefficient; stable Lévy motion
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
62M05: Markov processes: estimation; hidden Markov models
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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Nonparametric estimation of periodic signal disturbed by α-stable noises, Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models, Estimation of state-dependent jump activity and drift for Markovian semimartingales, Nonparametric Gaussian inference for stable processes
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Cites Work
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