Reweighted Nadaraya-Watson estimator of scalar diffusion models by using asymmetric kernels

Muhammad Hanif ()
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Muhammad Hanif: Department of Mathematics, Zhejiang University, Hangzhou, China, 310027

Far East Journal of Psychology and Business, 2011, vol. 4 No 1 Paper 5 July, issue 5, 53-69

Abstract: The nonparametric estimation of first and second infinitesimal moments describe by using the reweighted Nadaraya-Watson of scalar diffusion model. We used the symmetric kernels instead of standard kernel smoothing. We prove that the proposed estimators are consistence and asymptotically follow normal distribution under the condition of recurrence and stationarity.

Keywords: Beta kernel; Gamma kernel; Harris recurrence; Local time; Nonparametric estimation; Reweighted Nadaraya-Watson estimator; Stochastic differential equation (search for similar items in EconPapers)
JEL-codes: M1 (search for similar items in EconPapers)
Date: 2011
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