Ma Lei, Chen Ping. Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(5): 489-498.
Citation:
Ma Lei, Chen Ping. Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(5): 489-498.
Ma Lei, Chen Ping. Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(5): 489-498.
Citation:
Ma Lei, Chen Ping. Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models[J]. Chinese Journal of Applied Probability and Statistics, 2012, 28(5): 489-498.
Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models
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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