Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models

Ruijun Bu, Jihyun Kim () and Bin Wang

No 202021, Working Papers from University of Liverpool, Department of Economics

Abstract: We obtain the uniform convergence rates of nonparametric kernel estimators of the local time, the drift and volatility functions as well as their derivatives, of discretely sampled diffusion processes. Moreover, modified kernel estimators of the drift and volatility functions are considered and their Lp convergence rates are obtained. Our asymptotic results apply to recurrent diffusions which include both stationary or nonstationary cases. Our sampling scheme is two-dimensional, with sampling interval shrinking to zero and time span increasing to infinity jointly.

Keywords: recurrent; diffusion; kernel; uniform convergence; Lp convergence. (search for similar items in EconPapers)
JEL-codes: C14 C22 C58 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2020-07
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:liv:livedp:202021

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