Reweighted Nadaraya-Watson estimation of jump-diffusion models

DOI10.1007/s11425-011-4340-4zbMath1318.62113OpenAlexW2153856682MaRDI QIDQ1934471

Yanyan Li

Publication date: 28 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-011-4340-4

zbMATH Keywords

continuous time modellocal timenonparametric estimationjump-diffusion modelHarris recurrenceRNW estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Diffusion processes (60J60)

Related Items (12)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps ⋮ Local Linear Estimation of Recurrent Jump—Diffusion Models ⋮ Bandwidth selection of nonparametric threshold estimator in jump-diffusion models ⋮ Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels ⋮ Non parametric estimation of the diffusion coefficients of a diffusion with jumps ⋮ A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels ⋮ Double-smoothed drift estimation of jump-diffusion model ⋮ Bias free threshold estimation for jump intensity function ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Empirical likelihood inference for diffusion processes with jumps
• Testing for jumps in a discretely observed process
• Invariant measure for diffusions with jumps
• On the functional estimation of jump-diffusion models.
• Nonparametric kernel regression subject to monotonicity constraints
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Intentionally Biased Bootstrap Methods
• On estimating the diffusion coefficient from discrete observations
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Methods for Estimating a Conditional Distribution Function
• ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES
• Fully Nonparametric Estimation of Scalar Diffusion Models
• [https://portal.mardi4nfdi.de/wiki/Publication:5564837 Mesure invariante sur les classes r�currentes des processus de Markov]
• Weighted Nadaraya-Watson regression estimation

This page was built for publication: Reweighted Nadaraya-Watson estimation of jump-diffusion models