Communication in Statistics- Theory and Methods · 2010 · 23 citations · 8 references
EngineeringEconomicsEconometricsStochastic ModelingStochastic ProcessesBrownian MotionDiffusion ProcessesMonte Carlo MethodsNonparametric EconometricsParameter EstimationStochastic Differential EquationsDiffusion Coefficient DeterminationDiffusion Coefficient EstimationDiffusion CoefficientsDiffusion ModelsDiffusionsNonparametric EstimationParameter Estimation For DiffusionsParameter Estimation For Stochastic Differential Equations
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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Design-adaptive Nonparametric Regression
Jianqing Fan · Journal of the American Statistical Association · 1992 · 1.2K citations
Local Linear Regression Smoothers and Their Minimax Efficiencies
Jianqing Fan · The Annals of Statistics · 1993 · 903 citations · Full text