Time-domain state-domain methods are common approaches in modern financial analysis.Economic conditions vary time,drift function depends on time and price level for a given state variable.In this paper,to consistently...Time-domain state-domain methods are common approaches in modern financial analysis.Economic conditions vary time,drift function depends on time and price level for a given state variable.In this paper,to consistently estimate the bivariate drift function,our purpose a new dynamic integrated estimator by combing time-and state-domain methods for estimating drift function.And we establish its asymptotic properties and illustrates it outperforms some old ones by simulations.展开更多
基金Supported by the Natural Science Research Foundation of Education Department of Guizhou Province(20090080,2010076)Supported by the Project of Kaili University(Z1004)Supported by the Key Discipline Construction Program of Kaili University(KZD2009001)
文摘Time-domain state-domain methods are common approaches in modern financial analysis.Economic conditions vary time,drift function depends on time and price level for a given state variable.In this paper,to consistently estimate the bivariate drift function,our purpose a new dynamic integrated estimator by combing time-and state-domain methods for estimating drift function.And we establish its asymptotic properties and illustrates it outperforms some old ones by simulations.
