Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions

Abstract

We discuss the nonparametric Nadaraya-Watson (N-W) estimator of the drift function for ergodic stochastic processes driven by α-stable noises and observed at discrete instants. Under geometrical mixing condition, we derive consistency and rate of convergence of the N-W estimator of the drift function. Furthermore, we obtain a central limit theorem for stable stochastic integrals. The central limit theorem has its own interest and is the crucial tool for the proofs. A simulation study illustrates the finite sample properties of the N-W estimator.