Local Linear Estimation of Second-Order Diffusion Models

In this article, we present the local linear estimations for diffusion coefficient and drift coefficient in the second-order diffusion model. We show that under mild conditions, the estimators are weak consistent. We also use a Monte Carlo experiment to compare our estimators with the ones in Nicolau (2007 Nicolau , J. ( 2007 ). Nonparametric estimation of scend-order stochastic differential equations . Econometric Theor. 23 : 880 – 898 .Crossref], Web of Science ®] , Google Scholar]).