Title of article :
NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS
Author/Authors :
Jo?oNicolau، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Pages :
19
From page :
880
To page :
898
Abstract :
We propose nonparametric estimators of the infinitesimal coefficients associated with second-order stochastic differential equations+ We show that under appropriate conditions, the proposed estimators are consistent+ Also, we state conditions ensuring the asymptotic normality of these estimators+ We conclude our paper with a Monte Carlo experiment in which we assess the response of the nonparametric estimators with respect to the step of discretization+
Journal title :
ECONOMETRIC THEORY
Serial Year :
2007
Journal title :
ECONOMETRIC THEORY
Record number :
707390
Link To Document :
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