Abstract
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 (Citation2007).
Acknowledgment
The authors would like to thank the Editor and anonymous referees for their valuable suggestions, which greatly improved this article.
This research is supported by NSFC (10871177) and SRFDP (20060335032).