×

Asymptotic normality of composite quantile regression estimation for diffusion models. (Chinese. English summary) Zbl 1313.62094

Summary: This paper studies asymptotic normality of the composite quantile regression estimation of the drift function for diffusion models. Based on discretely observed sample of the diffusion models, the local estimation of the drift parametric functions are gained by using a composite quantile regression method, and the asymptotic normality of the estimation that we proposed is verified.

MSC:

62J05 Linear regression; mixed models
62J12 Generalized linear models (logistic models)
62F12 Asymptotic properties of parametric estimators
60J60 Diffusion processes
PDFBibTeX XMLCite