Nonparametric estimation of a trend based upon sampled continuous processes

نویسندگان

چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Nonparametric estimation of intensities for sampled counting processes

for the analysis of stationary time :;t;:,llt::;. studied We express some time reconas smoothed versions of corresponding point process parameters, and use these relations suggest estimates of series narameters

متن کامل

Nonparametric Estimation for Stationary Processes

We consider the kernel density and regression estimation problem for a wide class of causal processes. Asymptotic normality of the kernel estimators is established under minimal regularity conditions on bandwidths. Optimal uniform error bounds are obtained without imposing strong mixing conditions. The proposed method is based on martingale approximations and provides a unified framework for no...

متن کامل

Nonparametric inference of discretely sampled stable Lévy processes

We study nonparametric inference of stochastic models driven by stable Lévy processes. We introduce a nonparametric estimator of the stable index that achieves the parametric √ n rate of convergence. For the volatility function, due to the heavy-tailedness, the classical least-squares method is not applicable. We then propose a nonparametric least-absolute-deviation or median-quantile estimator...

متن کامل

Nonparametric estimation for pure jump irregularly sampled or noisy Lévy processes

In this paper, we study nonparametric estimation of the Lévy density for pure jump Lévy processes. We consider n discrete time observations that may be irregularly sampled or possibly corrupted by a small noise independent of the main process. The case of non noisy observations with regular sampling interval has been studied by the authors in previous works which are the benchmark for the exten...

متن کامل

Wavelet-Based Parameter Estimation for Trend Contaminated Fractionally Differenced Processes

A common problem in the analysis of time series is how to deal with a possible trend component, which is usually thought of as large scale (or low frequency) variations or patterns in the series that might be best modeled separately from the rest of the series. Trend is often confounded with low frequency stochastic fluctuations, particularly in the case of models such as fractionally differenc...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Comptes Rendus Mathematique

سال: 2009

ISSN: 1631-073X

DOI: 10.1016/j.crma.2008.12.016