Local linear estimator for stochastic differential equations driven by $\alpha$-stable L\'{e}vy motions

Autor:	Yu-Ping, Song, Zheng-Yan, Lin
Rok vydání:	2012
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We study the local linear estimator for the drift coefficient of stochastic differential equations driven by $\alpha$-stable L\'{e}vy motions observed at discrete instants letting $T \rightarrow \infty$. Under regular conditions, we derive the weak consistency and central limit theorem of the estimator. Compare with Nadaraya-Watson estimator, the local linear estimator has a bias reduction whether kernel function is symmetric or not under different schemes. Comment: 15 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1204.1454 Zobrazit plný text záznamu View this record from Arxiv