论文标题
纳达拉亚·沃特森（Nadaraya-Watson）的估计器，用于反射的随机过程，由布朗动作驱动
Nadaraya-Watson estimator for reflected stochastic processes driven by Brownian motions
论文作者
论文摘要
我们研究了两侧反射随机过程的漂移功能的Nadaraya-Watson（N-W）估计量。我们根据离散观察到的过程和连续观察的过程提出了一个离散型N-W估计器和连续类型的N-W估计器。在某些规律的条件下，我们获得了一致性并给出两个估计量的渐近分布。此外，我们简要地指出，我们的方法可以自发地应用于单方面反射的随机过程。数值研究表明，所提出的估计器足以用于实际使用。
We study the Nadaraya-Watson (N-W) estimator for the drift function of two-sided reflected stochastic processes. We propose a discrete-type N-W estimator and a continuous-type N-W estimator based on the discretely observed processes and continuously observed processes respectively. Under some regular conditions, we obtain the consistency and give the asymptotic distributions for the two estimators. Furthermore, we briefly remark that our method can be applied to the one-sided reflected stochastic processes spontaneously. Numerical studies show that the proposed estimators is adequate for practical use.
