Local Linear Estimation of Second-Order Diffusion Models

Hanchao Wang · Zhengyan Lin

23 citations0/0 files storedCommunication in Statistics- Theory and Methods

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Stochastic processes and financial applications Control Systems and Identification Statistical Methods and Inference

Abstract

In this article, we present the local linear estimations for diffusion coefficient and drift coefficient in the second-order diffusion model. We show that under mild conditions, the estimators are weak consistent. We also use a Monte Carlo experiment to compare our estimators with the ones in Nicolau (2007 Nicolau , J. ( 2007 ). Nonparametric estimation of scend-order stochastic differential equations . Econometric Theor. 23 : 880 – 898 .[Crossref], [Web of Science ®] , [Google Scholar]).

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References

1999Continuous Martingales and Brownian Motion 1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes 2003Fully Nonparametric Estimation of Scalar Diffusion Models 1993On estimating the diffusion coefficient from discrete observations 2003A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 1997A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model 2004Inference for Observations of Integrated Diffusion Processes 2007NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS

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