Re-weighted Nadaraya-Watson estimation of second-order jump-diffusion model. (English) Zbl 1429.62116
Summary: We propose a re-weighted Nadaraya-Watson estimator for the infinitesimal conditional expectation of the second-order jump-diffusion model. Consistency and asymptotic normality of the estimator require certain regular conditions.
MSC:
62G05 | Nonparametric estimation |
60J76 | Jump processes on general state spaces |
62G20 | Asymptotic properties of nonparametric inference |