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Reweighted Nadaraya-Watson estimation of jump-diffusion models |
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| Authors: | Muhammad Hanif HanChao Wang ZhengYan Lin |
| Affiliation: | 1. Department of Mathematics, Zhejiang University, Hangzhou, 310027, China |
| Abstract: | In this paper, we study the nonparametric estimation of the second infinitesimal moment by using the reweighted Nadaraya-Watson (RNW) approach of the underlying jump diffusion model. We establish strong consistency and asymptotic normality for the estimate of the second infinitesimal moment of continuous time models using the reweighted Nadaraya-Watson estimator to the true function. |
| Keywords: | continuous time model Harris recurrence jump-diffusion model local time nonparametric estimation RNW estimator |
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