Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve

Roman Różański, and Adam Zagdański. "Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve." Applicationes Mathematicae 33.1 (2006): 21-40. <http://eudml.org/doc/279777>.

@article{RomanRóżański2006,
abstract = {A histogram sieve estimator of the drift function in Ito processes and some semimartingales is constructed. It is proved that the estimator is pointwise and L¹ consistent and its finite-dimensional distributions are asymptotically normal. Our approach extends the results of Leśkow and Różański (1989a).},
author = {Roman Różański, Adam Zagdański},
journal = {Applicationes Mathematicae},
keywords = {sieve method of estimation; Ito processes; semimartingales; consistency; asymptotical normality; tables},
language = {eng},
number = {1},
pages = {21-40},
title = {Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve},
url = {http://eudml.org/doc/279777},
volume = {33},
year = {2006},
}

TY - JOUR
AU - Roman Różański
AU - Adam Zagdański
TI - Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
JO - Applicationes Mathematicae
PY - 2006
VL - 33
IS - 1
SP - 21
EP - 40
AB - A histogram sieve estimator of the drift function in Ito processes and some semimartingales is constructed. It is proved that the estimator is pointwise and L¹ consistent and its finite-dimensional distributions are asymptotically normal. Our approach extends the results of Leśkow and Różański (1989a).
LA - eng
KW - sieve method of estimation; Ito processes; semimartingales; consistency; asymptotical normality; tables
UR - http://eudml.org/doc/279777
ER -