Estimation of the Diffusion Coefficient Under Strong Mixing

Autor:	Mounir Arfi, Jean-Pierre Lecoutre
Rok vydání:	1999
Předmět:	Statistics and Probability Stochastic differential equation Diffusion equation Diffusion process Anomalous diffusion Mathematical analysis Fokker–Planck equation Statistics Probability and Uncertainty Diffusion (business) Fick's laws of diffusion Mixing (physics) Mathematics
Zdroj:	Statistics. 33:73-84
ISSN:	1029-4910 0233-1888
DOI:	10.1080/02331889908802682
Popis:	We consider an estimate of the diffusion coefficient which arises in a stochastic differential equation, defining a certain time-continuous process. The used equation is: where is a standard Brownian motion and σ is the diffusion coefficient. We obtain the pointwise and uniform almost sure consistency for the kernel estimate of the diffusion coefficient under a strong mixing condition.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::9b75ca2ea5153c344f774339a602cef0 https://doi.org/10.1080/02331889908802682 Zobrazit plný text záznamu