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Non parametric bias reduction of diffusion coefficient in integrated diffusion processes

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  • Mingtian Tang
  • Yunyan Wang
  • Qingqing Zhan

Abstract

In this paper, we propose a non parametric functional estimator for diffusion coefficient in integrated stochastic diffusion process. The asymptotic bias of the kernel type estimator and the new proposed non parametric estimator for diffusion coefficient are developed when the time span is fixed, and we can see that the new non parametric estimator has a smaller asymptotic bias than the kernel estimator. Moreover, the consistency and the asymptotic normality of the new proposed non parametric estimator are explored under some mild conditions.

Suggested Citation

  • Mingtian Tang & Yunyan Wang & Qingqing Zhan, 2022. "Non parametric bias reduction of diffusion coefficient in integrated diffusion processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(18), pages 6435-6446, September.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:18:p:6435-6446
    DOI: 10.1080/03610926.2020.1861298
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