Nonparametric estimation problem for a time-periodic signal in a periodic noise

In this paper we construct a kernel estimator of a periodic signal when the observation follows the model dζt=f(t)dt+σ(t)dWt, where f,σ:R→R are continuous periodic and {Wt,t≥0} is a Brownian motion. We state its consistency as well as the asymptotic normality.

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Year of publication:	2013
Authors:	Dehay, D. ; El Waled, K.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 2, p. 608-615
Publisher:	Elsevier
Subject:	Periodic signal \| Kernel estimation \| Continuous time \| Periodic variance \| Black–Scholes–Merton model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040129