Estimating functions for jump-diffusions
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Publication:2274300
DOI10.1016/j.spa.2018.09.006zbMath1505.60079arXiv1709.00232OpenAlexW2964003740WikidataQ61873251 ScholiaQ61873251MaRDI QIDQ2274300
Publication date: 19 September 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.00232
stochastic differential equationefficiencyoptimal ratediffusion with jumpsdiscrete-time samplingapproximate martingale estimating function
Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Jump processes on general state spaces (60J76)
Related Items (2)
Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process ⋮ Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
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