Title of article
Re-weighted Nadaraya–Watson estimation of second-order jump-diffusion model
Author/Authors
Song، نويسنده , , Yuping and Lin، نويسنده , , Zhengyan and Wang، نويسنده , , Hanchao، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
15
From page
730
To page
744
Abstract
We propose a re-weighted Nadaraya–Watson estimator for the infinitesimal conditional expectation of the second-order jump-diffusion model. Consistency and asymptotic normality of the estimator require certain regular conditions.
Keywords
Re-weighted Nadaraya–Watson , Local linear estimator , Second-order jump-diffusion
Journal title
Journal of Statistical Planning and Inference
Serial Year
2013
Journal title
Journal of Statistical Planning and Inference
Record number
2222282
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