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Re-weighted functional estimation of second-order diffusion processes

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  • Yunyan Wang
  • Lixin Zhang
  • Mingtian Tang

Abstract

Second-order diffusion process can not only model integrated and differentiated diffusion processes but also overcome the difficulties associated with the nondifferentiability of the Brownian motion, so these models play an important role in econometric analysis. In this paper, we propose a re-weighted estimator of the diffusion coefficient in the second-order diffusion model. Consistence of the estimator is proved under appropriate conditions and the conditions that ensure the asymptotic normality are also stated. The performance of the proposed estimator is assessed by simulation study. Copyright Springer-Verlag 2012

Suggested Citation

  • Yunyan Wang & Lixin Zhang & Mingtian Tang, 2012. "Re-weighted functional estimation of second-order diffusion processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1129-1151, November.
    • Handle: RePEc:spr:metrik:v:75:y:2012:i:8:p:1129-1151
    DOI: 10.1007/s00184-011-0372-6
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    1. Xiong, Xianzhu & Ou, Meijuan & Chen, Ailian, 2021. "Reweighted Nadaraya–Watson estimation of conditional density function in the right-censored model," Statistics & Probability Letters, Elsevier, vol. 168(C).

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