Please use this identifier to cite or link to this item:
Liptser, R.
Spokoiny, Vladimir G.
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 1998,102
We consider a two-scaled diffusion system, when drift and diffusion parameters of the 'slow' component are contaminated by the ' fast' unobserved component. The goal is to estimate the dynamic function which is defined by averaging the drift coefficient of the 'slow' component w.r.t. the stationary distribution of the 'fast' one. We apply a locally linear smoother with a datadriven bandwidth choice. The procedure is fully adaptive and nearly optimal up to a log log factor.
bandwidth selection
fast and slow components
drift and diffusion coefficients
averaging principle
nonparametric estimation
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
374.39 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.