In this paper, we propose a nonparametric identification and estimation procedure for an ltd diffusion process based on discrete sampling observations. The nonparametric kernel estimator for the diffusion function developed in this paper deals with general ltd diffusion processes and avoids any...

In this paper, we consider the estimation of Markov models where the transition density is unknown. The approach we propose is based on the empirical characteristic function estimation procedure with an approximate optimal weight function. The approximate optimal weight function is obtained...