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On estimating a dynamic function of a stochastic system with averaging

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  • Liptser, R.
  • Spokoiny, Vladimir G.

Abstract

We consider a two-scaled diffusion system, when drift and diffusion parameters of the 'slow' component are contaminated by the ' fast' unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the 'slow' component w.r.t. the stationary distribution of the 'fast' one. We apply a locally linear smoother with a datadriven bandwidth choice. The procedure is fully adaptive and nearly optimal up to a log log factor.

Suggested Citation

  • Liptser, R. & Spokoiny, Vladimir G., 1998. "On estimating a dynamic function of a stochastic system with averaging," SFB 373 Discussion Papers 1998,102, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:1998102
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    References listed on IDEAS

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    1. Hardle, W. & Vieu, P., 1990. "Kernel regression smoothing of time series," LIDAM Discussion Papers CORE 1990031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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