时变扩散模型中扩散系数的核估计

Kernel Estimation of the Diffusion Efficient in the Time-Dependent Diffusion Models

摘要: 本文研究了时变扩散方程基于离散时间样本观察值的非参数估计问题. 针对时变扩散系数, 用"分时段''的方法构造出了扩散系数的局部核估计, 证明了估计量的强相合性.

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.