On the functional estimation of multivariate diffusion processes
We propose a fully nonparametric estimation theory for the drift vector and the diffusion matrix of multivariate diffusion processes. The estimators are sample analogues to infinitesimal conditional expectations constructed as Nadaraya-Watson kernel averages. Minimal assumptions are imposed on the statistical properties of the multivariate system to obtain limiting results. Harris recurrence is all that we require to show strong consistency and asymptotic (mixed) normality of the functional estimates. Hence, the estimation method and asymptotic theory apply to both stationary and nonstationary multivariate diffusion processes of the recurrent type.
|Date of creation:||01 Jul 2008|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fan J. & Zhang C., 2003. "A Reexamination of Diffusion Estimators With Applications to Financial Model Validation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 118-134, January.
- Pagan,Adrian & Ullah,Aman, 1999.
Cambridge University Press, number 9780521355643, October.
- Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521586115, October.
- Federico M. Bandi & Peter C. B. Phillips, 2003. "Fully Nonparametric Estimation of Scalar Diffusion Models," Econometrica, Econometric Society, vol. 71(1), pages 241-283, January.
- Federico M. Bandi & Peter C.B. Phillips, 2001. "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers 1332, Cowles Foundation for Research in Economics, Yale University.
- Moloche, Guillermo, 2001. "Local Nonparametric Estimation of Scalar Diffusions," MPRA Paper 46154, University Library of Munich, Germany.
- Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
- Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(02), pages 316-356, June.
- Stanton, Richard, 1997. " A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1973-2002, December. Full references (including those not matched with items on IDEAS)