Nonparametric estimation problem for a time-periodic signal in a periodic noise
Résumé
In this paper we construct a kernel estimator of a periodic signal when the observation follows the model d zeta(t) = f (t)dt + sigma(t)dW(t), where f, sigma : R -> R are continuous periodic and {W-t, t >= 0} is a Brownian motion. We state its consistency as well as the asymptotic normality