Re-weighted Nadaraya-Watson estimation of second-order jump-diffusion model

DOI10.1016/j.jspi.2012.09.010zbMath1429.62116OpenAlexW2068273852MaRDI QIDQ1931361

Han Chao Wang, Zheng Yan Lin, Yu Ping Song

Publication date: 25 January 2013

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.09.010

zbMATH Keywords

local linear estimatorre-weighted Nadaraya-Watsonsecond-order jump-diffusion

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Jump processes on general state spaces (60J76)

Related Items (5)

Reweighted Nadaraya-Watson estimation of conditional density function in the right-censored model ⋮ Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Adaptive nonparametric drift estimation of an integrated jump diffusion process ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps ⋮ Nonparametric estimation of periodic signal disturbed by α-stable noises

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