Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1148764 | Journal of Statistical Planning and Inference | 2013 | 15 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Yuping Song, Zhengyan Lin, Hanchao Wang,