摘要
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.
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.
基金
supported by National Natural Science Foundation of China (Grant Nos.10871177,11071213)
Research Fund for the Doctor Program of Higher Education of China (Grant No.20090101110020)
