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

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.

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Year of publication:	2011
Authors:	Hanif, Muhammad
Published in:	Far East Journal of Psychology and Business. - Far East Research Centre, ISSN 2219-5440. - Vol. 4 No 1 Paper 5 July.2011, 5, p. 53-69
Publisher:	Far East Research Centre
Subject:	Beta kernel \| Gamma kernel \| Harris recurrence \| Local time \| Nonparametric estimation \| Reweighted Nadaraya-Watson estimator \| Stochastic differential equation

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Extent:	application/pdf text/html
Type of publication:	Article
Language:	English
Classification:	M1 - Business Administration
Source:	RePEc - Research Papers in Economics

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