Non‐parametric Kernel Estimation of the Coefficient of a Diffusion

Jean Jacod

Scandinavian Journal of Statistics, 2000, vol. 27, issue 1, 83-96

Abstract: In this work we exhibit a non‐parametric estimator of kernel type, for the diffusion coefficient when one observes a one‐dimensional diffusion process at times i/n for i = , ..., n and study its asymptotics as n←∞. When the diffusion coefficient has regularity r≥ 1, we obtain a rate 1/nr/(1+2r), both for pointwise estimation and for estimation on a compact subset of R: this is the same rate as for non‐parametric estimation of a density with i.i.d. observations.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:27:y:2000:i:1:p:83-96

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