Single-index Di usion Models and Their Estimation
نویسندگان
چکیده
We propose a single-index di usion model in this paper. This model can avoid the `curse 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 efcient. Some simulations and applications to real data are reported.
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