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Nonparametric Estimation of the Assets Equation(PDF)

《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

Issue:
2004年02期
Page:
208-211
Research Field:
Publishing date:

Info

Title:
Nonparametric Estimation of the Assets Equation
Author(s):
CHENG PingYang Xiao-ping
School of Sciences,NUST,Nanjing 210094,China
Keywords:
drif t coef ficient Ito formula nonparamet ric estimat ion w avelet
PACS:
F224
DOI:
-
Abstract:
The prerequisites of const ruct ion of the assets equat ion is the est imat ion of the drif t coeff icient b(·) . T he nonparamet ric estimation of b(·) is derived through the translat ion of the samples using Ito formula, the problem of estimation of assets equat ion is then t ranslated to the problem of the est imat ions of functions in C [ 0, 1] . The consistency property of the est imate is discussed and the w avelet est imate of the drif t coeff icient is constructed.

References:

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Last Update: 2013-03-11