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arXiv · 1204.1454

Local linear estimator for stochastic differential equations driven by $α$-stable Lévy motions

Song Yu-Ping·Lin Zheng-Yan
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Abstract

We study the local linear estimator for the drift coefficient of stochastic differential equations driven by $α$-stable Lévy motions observed at discrete instants letting $T \rightarrow \infty$. Under regular conditions, we derive the weak consistency and central limit theorem of the estimator. Compare with Nadaraya-Watson estimator, the local linear estimator has a bias reduction whether kernel function is symmetric or not under different schemes.

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Song Yu-Ping, Lin Zheng-Yan. 2012-04-06. Local linear estimator for stochastic differential equations driven by $α$-stable Lévy motions. https://arxiv.org/abs/1204.1454

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