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Nonparametric Estimation for the Diffusion Coefficient of Multidimensional Time-Varying Diffusion Processes

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Abstract

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.

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Correspondence to Jun Wang or Ping Chen.

Additional information

This research was supported by the National Natural Science Foundation of China under Grant Nos. 11271189 and 11201229.

This paper was recommended for publication by Editor DONG Yuexiao.

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Wang, J., Chen, P. Nonparametric Estimation for the Diffusion Coefficient of Multidimensional Time-Varying Diffusion Processes. J Syst Sci Complex 33, 1602–1631 (2020). https://doi.org/10.1007/s11424-020-8376-9

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  • DOI: https://doi.org/10.1007/s11424-020-8376-9

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