Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
Volume 33 / 2006
Applicationes Mathematicae 33 (2006), 21-40
MSC: Primary 62M09; Secondary 62G05.
DOI: 10.4064/am33-1-2
Abstract
A histogram sieve estimator of the drift function in Ito processes and some semimartingales is constructed. It is proved that the estimator is pointwise and $L^{1}$ consistent and its finite-dimensional distributions are asymptotically normal. Our approach extends the results of Leśkow and Różański (1989a).
