Nonparametric estimation problem for a time-periodic signal in a periodic noise

DOI10.1016/J.SPL.2012.11.008zbMath1352.62054OpenAlexW4233636756MaRDI QIDQ1950674

K. El Waled, Dominique Dehay

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.11.008

zbMATH Keywords

kernel estimationperiodic signalcontinuous timeBlack-Scholes-Merton modelperiodic variance

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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