Empirical likelihood-based inference for nonparametric recurrent diffusions

Journal of Econometrics

Volumn 153, Issue 1, 2009, Pages 65-82

  Xu, Ke Li ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Confidence interval; Continuous time models; Diffusion; Drift; Empirical likelihood; Local linear smoothing; Local time; Nonparametric estimation; Nonstationarity; Stochastic differential equation

Indexed keywords

CONFIDENCE INTERVAL; CONTINUOUS-TIME MODELS; DRIFT; EMPIRICAL LIKELIHOOD; LOCAL LINEAR SMOOTHING; LOCAL TIME; NONPARAMETRIC ESTIMATION; NONSTATIONARITY; STOCHASTIC DIFFERENTIAL EQUATION;

CONTINUOUS TIME SYSTEMS; DIFFERENTIAL EQUATIONS; ELECTROLUMINESCENCE; ESTIMATION; FINANCIAL DATA PROCESSING; MEASUREMENT THEORY; SAMPLING; STOCHASTIC MODELS;

DIFFUSION;

EID: 70349107945     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.04.006     Document Type: Article

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