Dehay, D.; El Waled, K. - In: Statistics & Probability Letters 83 (2013) 2, pp. 608-615
In this paper we construct a kernel estimator of a periodic signal when the observation follows the model dζt=f(t)dt+σ(t)dWt, where f,σ:R→R are continuous periodic and {Wt,t≥0} is a Brownian motion. We state its consistency as well as the asymptotic normality.