Single-index Diiusion Models and Their Estimation
نویسندگان
چکیده
We propose a single-index diiusion model in this paper. This model can avoid thècurse of dimensionality' in estimating a multivariate nonparametric conditional variance. We adopt an absolute deviation estimation method to estimate the model. Comparing with the commonly used estimators, the absolute deviation estimator is more stable and ef-cient. Some simulations and applications to real data are reported.
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