This paper proposes a kernel estimator for the coefficient of multidimensional time-varying diffusion processes as an extension of the estimation model for one dimensional diffusion coefficient to the multidimensional case. By using “time division”, the authors overcome the problem of sample observation in time varying model. In addition, the authors prove the strong consistency and limit distribution of the estimator. Finally, the authors test the performance of the estimator through a simulation experiment and an empirical application.

中文翻译：

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多维时变扩散过程的扩散系数的非参数估计

本文提出了多维时变扩散过程系数的核估计器，作为一维扩散系数估计模型对多维情况的扩展。通过使用“时分”，作者克服了时变模型中样本观察的问题。此外，作者证明了估计量的强一致性和极限分布。最后，作者通过模拟实验和经验应用测试了估计器的性能。