Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach

Shin Kanaya

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this paper, we derive uniform convergence rates of nonparametric estimators for continuous time diffusion processes. In particular, we consider kernel-based estimators of the Nadaraya-Watson type with introducing a new technical device called a damping function. This device allows us to derive sharp uniform rates over an infinite interval with minimal requirements on the processes: The existence of the moment of any order is not required and the boundedness of relevant functions can be significantly relaxed. Restrictions on kernel functions are also minimal: We allow for kernels with discontinuity, unbounded support and slowly decaying tails. Our proofs proceed by using the covering-number technique from empirical process theory and exploiting the mixing and martingale properties of the processes. We also present new results on the path-continuity property of Brownian motions and diffusion processes over an infinite time horizon. These path-continuity results, which should also have an independent interest, are used to control discretization biases of the nonparametric estimators. The obtained convergence results are useful for non/semiparametric estimation and testing problems of diffusion processes.

Keywords: Diffusion process; uniform convergence; kernel estimation; nonparametric. (search for similar items in EconPapers)
JEL-codes: C14 C32 C58 (search for similar items in EconPapers)
Pages: 53
Date: 2015-11-12
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH (2017)
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