Variable bandwidth local maximum likelihood type estimation for diffusion processes

Variable bandwidth local maximum likelihood type estimation for diffusion processes

Abstract The method of robust approach is applied to estimate drift function and diffusion function of diffusion processes with discrete-time observations. The proposed method combines the ideas of local linear regression technique and maximum likelihood type estimation technique, so the advantages...

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Bibliographic Details
Main Authors: Ming T. Tang, Yun Y. Wang
Format: Article
Language:English
Published: SpringerOpen 2018-02-01
Series:Advances in Difference Equations
Subjects:
Asymptotic normality
Consistency
Robust estimation
Stochastic differential equation
Variable bandwidth
Online Access:http://link.springer.com/article/10.1186/s13662-018-1506-1

Internet

http://link.springer.com/article/10.1186/s13662-018-1506-1

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