Geodesic
Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve
Roman Ró/za/nski1 ; Adam Zagda/nski1
1 Institute of Mathematics and Computer Science Wroc/law University of Technology Wybrzeże Wyspia/nskiego 27 50-370 Wroc/law, Poland
Applicationes Mathematicae, Tome 33 (2006) no. 1, pp. 21-40 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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).
DOI : 10.4064/am33-1-2
Keywords: histogram sieve estimator drift function ito processes semimartingales constructed proved estimator pointwise consistent its finite dimensional distributions asymptotically normal approach extends results kow ski

Roman Ró/za/nski 1 ; Adam Zagda/nski 1

1 Institute of Mathematics and Computer Science Wroc/law University of Technology Wybrzeże Wyspia/nskiego 27 50-370 Wroc/law, Poland 
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 via histogram sieve
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Roman Ró/za/nski; Adam Zagda/nski. Estimation of the drift function for Ito
 processes and a class of semimartingales
 via histogram sieve. Applicationes Mathematicae, Tome 33 (2006) no. 1, pp. 21-40. doi: 10.4064/am33-1-2

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