CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2012, 28(5) 489-498 DOI:      ISSN: 1001-4268 CN: 31-1256

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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

Abstract��

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.

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