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Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models
Ma Lei, Chen Ping
School of Science, Nanjing University
of Science and Technology
This paper studies non-parametric kernel
estimates of the time-dependent diffusion equation based on the
observations of discrete samples. We construct local kernel
estimation of the time-dependent diffusion coefficient using
"sectional" method. Furthermore we proved the strong consistency
of the estimator.