Local polynomial estimations of time-varying coefficients for local stationary diffusion models

作者: Jixia Wang , Qingxian Xiao

DOI: 10.1186/1029-242X-2014-17

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摘要: This paper is dedicated to the study of local polynomial estimations time-varying coefficients for a stationary diffusion model. Based on fitting, drift parametric functions are obtained by using weighted least squares method. By applying forward Kolmogorov equation, estimation coefficient proposed. The consistency, asymptotic normality and uniform convergence that we proposed established.

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