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
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
Journal title :
Journal of Statistical Planning and Inference
