Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
We discuss the nonparametric Nadaraya-Watson (N-W) estimator of the drift function for ergodic stochastic processes driven by $\alpha$-stable noises and observed at discrete instants. Under geometrical mixing condition, we derive consistency and rate of convergence of the N-W estimator of the drift function. Furthermore, we obtain a central limit theorem …