2006-03-16Buch DOI: 10.18452/3776
On Estimating a dynamic function of a stochastic system with averaging
Spokoiny, Vladimir G.
We consider a two-scaled diffusion system, when drift and diffusion parameters of the “slow” component are contaminated by the “ fast” unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the “slow” component w.r.t. the stationary distribution of the “fast” one. We apply a locally linear smoother with a datadriven bandwidth choice. The procedure is fully adaptive and nearly optimal up to a log log factor.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 102, SFB 373 Papers, ISSN:1436-1086