Abstract
In this paper, we study the nonparametric estimation of the second infinitesimal moment by using the reweighted Nadaraya-Watson (RNW) approach of the underlying jump diffusion model. We establish strong consistency and asymptotic normality for the estimate of the second infinitesimal moment of continuous time models using the reweighted Nadaraya-Watson estimator to the true function.
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Hanif, M., Wang, H. & Lin, Z. Reweighted Nadaraya-Watson estimation of jump-diffusion models. Sci. China Math. 55, 1005–1016 (2012). https://doi.org/10.1007/s11425-011-4340-4
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DOI: https://doi.org/10.1007/s11425-011-4340-4
Keywords
- continuous time model
- Harris recurrence
- jump-diffusion model
- local time
- nonparametric estimation
- RNW estimator