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arXiv · 2205.00141

Nadaraya-Watson estimator for reflected stochastic processes driven by Brownian motions

Han Yuecai·Zhang Dingwen
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Abstract

We study the Nadaraya-Watson (N-W) estimator for the drift function of two-sided reflected stochastic processes. We propose a discrete-type N-W estimator and a continuous-type N-W estimator based on the discretely observed processes and continuously observed processes respectively. Under some regular conditions, we obtain the consistency and give the asymptotic distributions for the two estimators. Furthermore, we briefly remark that our method can be applied to the one-sided reflected stochastic processes spontaneously. Numerical studies show that the proposed estimators is adequate for practical use.

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BibTeXRIS

Han Yuecai, Zhang Dingwen. 2022-04-30. Nadaraya-Watson estimator for reflected stochastic processes driven by Brownian motions. https://arxiv.org/abs/2205.00141

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