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Double-smoothed drift estimation of jump-diffusion model.

Authors :
Zhou, Likai
Source :
Communications in Statistics: Theory & Methods. 2017, Vol. 46 Issue 8, p4137-4149. 13p.
Publication Year :
2017

Abstract

In this paper, we consider the non parametric drift estimation for the jump-diffusion model. We employ the double-smoothed non parametric method, and establish the strong consistency and asymptotic normality for estimator. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*STATISTICAL smoothing
*PARAMETER estimation
*DIFFUSION processes
*ASYMPTOTIC normality
*CONTINUOUS time models

Details

Language :
English
ISSN :
03610926
Volume :
46
Issue :
8
Database :
Academic Search Index
Journal :
Communications in Statistics: Theory & Methods
Publication Type :
Academic Journal
Accession number :
120538467
Full Text :
https://doi.org/10.1080/03610926.2015.1078479
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