Nonparametric estimation of second-order stochastic differential equations

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2007
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27585
Resumo: We propose nonparametric estimators of the infinitesimal coefficients associated with second-order stochastic differential equations. We show that under appropriate conditions, the proposed estimators are consistent. Also, we state conditions ensuring the asymptotic normality of these estimators. We conclude our pa with a Monte Carlo experiment in which we assess the response of the nonparametric estimators with respect to the step of discretization.
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spelling Nonparametric estimation of second-order stochastic differential equationsNonparametric EstimatorsStochastic Differential EquationsWe propose nonparametric estimators of the infinitesimal coefficients associated with second-order stochastic differential equations. We show that under appropriate conditions, the proposed estimators are consistent. Also, we state conditions ensuring the asymptotic normality of these estimators. We conclude our pa with a Monte Carlo experiment in which we assess the response of the nonparametric estimators with respect to the step of discretization.Cambridge University PressRepositório da Universidade de LisboaNicolau, João2023-04-04T15:59:44Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27585engNicolau, João .(2007). “Nonparametric estimation of second-order stochastic differential equations”. Econometric Theory , Vol. 23, No. 5: pp. 880-898. Linked references are available on JSTOR (Search PDF in 2023).info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-09T01:32:15Zoai:www.repository.utl.pt:10400.5/27585Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:02.967490Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Nonparametric estimation of second-order stochastic differential equations
title Nonparametric estimation of second-order stochastic differential equations
spellingShingle Nonparametric estimation of second-order stochastic differential equations
Nicolau, João
Nonparametric Estimators
Stochastic Differential Equations
title_short Nonparametric estimation of second-order stochastic differential equations
title_full Nonparametric estimation of second-order stochastic differential equations
title_fullStr Nonparametric estimation of second-order stochastic differential equations
title_full_unstemmed Nonparametric estimation of second-order stochastic differential equations
title_sort Nonparametric estimation of second-order stochastic differential equations
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv Nonparametric Estimators
Stochastic Differential Equations
topic Nonparametric Estimators
Stochastic Differential Equations
description We propose nonparametric estimators of the infinitesimal coefficients associated with second-order stochastic differential equations. We show that under appropriate conditions, the proposed estimators are consistent. Also, we state conditions ensuring the asymptotic normality of these estimators. We conclude our pa with a Monte Carlo experiment in which we assess the response of the nonparametric estimators with respect to the step of discretization.
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2023-04-04T15:59:44Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27585
url http://hdl.handle.net/10400.5/27585
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João .(2007). “Nonparametric estimation of second-order stochastic differential equations”. Econometric Theory , Vol. 23, No. 5: pp. 880-898. Linked references are available on JSTOR (Search PDF in 2023).
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Cambridge University Press
publisher.none.fl_str_mv Cambridge University Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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