Nonparametric estimation problem for a time-periodic signal in a periodic noise

作者：Dehay D; El Waled K^*

来源：Statistics & Probability Letters, 2013, 83(2): 608-615.

DOI：10.1016/j.spl.2012.11.008

• Periodic signal
• Kernel estimation
• Continuous time
• Periodic variance
• Black-Scholes-Merton model

In this paper we construct a kernel estimator of a periodic signal when the observation follows the model d zeta(t) = f (t)dt + sigma(t)dW(t), where f, sigma : R -> R are continuous periodic and {W-t, t >= 0} is a Brownian motion. We state its consistency as well as the asymptotic normality.

• 出版日期2013-2