Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process (Q2023465)
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| Language | Label | Description | Also known as |
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| English | Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process |
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Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process (English)
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3 May 2021
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The authors investigate the estimation of a drift coefficient in a one-dimensional diffusion process with jumps driven by a multidimensional Hawkes process. An estimator obtained from a minimization of a modified least squares contrast is proposed. Besides a theoretical analysis of this estimator, the authors investigate its behavior in a simulation study.
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nonparametric estimator
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model selection
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diffusion
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Hawkes process
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