文章基本信息

标题：Variance estimator for fractional diffusions with variance and drift depending on time
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作者：Corinne Berzin ; Alain Latour ; José R. León 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2015
卷号：9
期号：1
页码：926-1016
DOI：10.1214/15-EJS1023
语种：English
出版社：Institute of Mathematical Statistics
摘要：We propose punctual and functional estimators for the local variance of pseudo-diffusions driven by Gaussian noises. The consistency and asymptotic normality are shown. The proofs are simplified by using the Central Limit Theorem for non-linear functionals belonging to Itô-Wiener’s Chaos, of Peccati-Nualart-Tudor. Besides, a simulation study is made to assess the performance of those estimators. This study reveals, through various examples, that the estimators give good approximations for the true local variance.