Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise

DOI10.1007/s11203-016-9141-5OpenAlexW2460603263MaRDI QIDQ2412765

Nancy E. Heckman, Wooyong Lee, Prescilla E. Greenwood, Wolfgang Wefelmeyer

Publication date: 27 October 2017

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-016-9141-5

zbMATH Keywords

Nadaraya-Watson estimatordiffusion processdiscrete observationsnonparametric estimationmicrostructure noisepre-averagingdrift estimationhigh-frequency observations

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (2)

Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data

Uses Software

• R
• sde

Cites Work

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