Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
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Publication:1951162
DOI10.1214/13-EJS811zbMath1337.62204MaRDI QIDQ1951162
Publication date: 29 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1368193536
rate of convergenceconsistencyNadaraya-Watson estimatorcentral limit theoremkernel estimatorLévy motionstable stochastic integralsgeometrically strong mixing
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Numerical solutions to stochastic differential and integral equations (65C30) Stable stochastic processes (60G52)
Related Items (12)
New robust confidence intervals for the mean under dependence ⋮ Maximum likelihood type estimation for discretely observed CIR model with small \(\alpha\)-stable noises ⋮ Local linear estimation for stochastic processes driven by \(\alpha\)-stable Lévy motion ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Quantifying model uncertainty in dynamical systems driven by non-Gaussian Lévy stable noise with observations on mean exit time or escape probability ⋮ Small noise fluctuations of the CIR model driven by \(\alpha\)-stable noises ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ Nonparametric estimation of the trend for stochastic differential equations driven by small \(\alpha\)-stable noises ⋮ Nonparametric Gaussian inference for stable processes ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps ⋮ Nonparametric estimation of periodic signal disturbed by α-stable noises
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