A Nonparametric Approach to the Estimation of Diffusion Processes, With an Application to a Short-Term Interest Rate Model
扩散过程的非参数估计及其在短期利率模型中的应用
In this paper, we propose a nonparametric identification and estimation procedure for an ltd diffusion process based on discrete sampling observations. The nonparametric kernel estimator for the diffusion function developed in this paper deals with general ltd diffusion processes and avoids any functional form specification for either the drift function or the diffusion function. It is shown that under certain regularity conditions the nonparametric diffusion function…