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


  • Dehay, D.
  • El Waled, K.


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.

Suggested Citation

  • Dehay, D. & El Waled, K., 2013. "Nonparametric estimation problem for a time-periodic signal in a periodic noise," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 608-615.
  • Handle: RePEc:eee:stapro:v:83:y:2013:i:2:p:608-615
    DOI: 10.1016/j.spl.2012.11.008

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    References listed on IDEAS

    1. Reinhard Höpfner & Yury Kutoyants, 2010. "Estimating discontinuous periodic signals in a time inhomogeneous diffusion," Statistical Inference for Stochastic Processes, Springer, vol. 13(3), pages 193-230, October.
    2. Jankunas, Andrius & Khasminskii, Rafail Z., 1997. "Estimation of parameters of linear homogeneous stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 72(2), pages 205-219, December.
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