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Estimating functions for jump-diffusions (Q2274300)

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Language	Label	Description	Also known as
English	Estimating functions for jump-diffusions	scientific article

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scholarly article

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Estimating functions for jump-diffusions (English)

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Stochastic Processes and their Applications

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publication date

19 September 2019

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full work available at URL

https://arxiv.org/abs/1709.00232

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zbMATH Keywords

approximate martingale estimating function

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diffusion with jumps

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discrete-time sampling

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efficiency

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optimal rate

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stochastic differential equation

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MaRDI profile type

MaRDI publication profile

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On the functional estimation of jump-diffusion models.

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A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes

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Asymptotic Inference for Jump Diffusions with State-Dependent Intensity

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Martingale estimation functions for discretely observed diffusion processes

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Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes

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A Jump‐diffusion Model for Exchange Rates in a Target Zone

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The Morris-Lecar neuron model embeds a leaky integrate-and-fire model

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Density approximations for multivariate affine jump-diffusion processes

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Approximate discrete-time schemes for statistics of diffusion processes

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On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

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Jump filtering and efficient drift estimation for Lévy-driven SDEs

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LAN property for ergodic diffusions with discrete observations

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Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality

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Optimality and small \(\Delta\)-optimality of martingale estimating functions

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A review of asymptotic theory of estimating functions

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Efficient estimation for diffusions sampled at high frequency over a fixed time interval

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Foundations of Modern Probability

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Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling

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Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling

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Estimation of an Ergodic Diffusion from Discrete Observations

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Estimating equations based on eigenfunctions for a discretely observed diffusion process

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LAN property for a simple Lévy process

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LAN property for an ergodic diffusion with jumps

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A Jump-Diffusion Model for Option Pricing

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Estimating jump-diffusions using closed-form likelihood expansions

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Least squares estimators for stochastic differential equations driven by small Lévy noises

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Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes

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Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps

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Threshold estimation of Markov models with jumps and interest rate modeling

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Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps

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Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency

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Option pricing when underlying stock returns are discontinuous

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Quasi-likelihood analysis for the stochastic differential equation with jumps

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Non-parametric adaptive estimation of the drift for a jump diffusion process

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Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps

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\(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps

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Functional estimation for Lévy measures of semimartingales with Poissonian jumps

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Estimation of parameters for diffusion processes with jumps from discrete observations

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LAN property for an ergodic Ornstein–Uhlenbeck process with Poisson jumps

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Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions

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Bandwidth selection of nonparametric threshold estimator in jump-diffusion models

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Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan

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Double-smoothed drift estimation of jump-diffusion model

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Identifiers

zbMATH Open document ID

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10.1016/j.spa.2018.09.006

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2274300

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