Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
Roman Różański ; Adam Zagdański
Applicationes Mathematicae, Tome 33 (2006), p. 21-40 / Harvested from The Polish Digital Mathematics Library
Access to full text
Full (PDF)

A histogram sieve estimator of the drift function in Ito processes and some semimartingales is constructed. It is proved that the estimator is pointwise and L¹ consistent and its finite-dimensional distributions are asymptotically normal. Our approach extends the results of Leśkow and Różański (1989a).

Publié le : 2006-01-01
EUDML-ID : urn:eudml:doc:279777 
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-2,
     author = {Roman R\'o\.za\'nski and Adam Zagda\'nski},
     title = {Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve},
     journal = {Applicationes Mathematicae},
     volume = {33},
     year = {2006},
     pages = {21-40},
     zbl = {1102.62088},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-2}
}

Roman Różański; Adam Zagdański. Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve. Applicationes Mathematicae, Tome 33 (2006) pp. 21-40. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am33-1-2/