Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models

DOI10.3934/puqr.2022003zbMath1487.62102OpenAlexW4226452910MaRDI QIDQ2671659

Kunyang Song, Yu Ping Song, Han Chao Wang

Publication date: 3 June 2022

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2022003

zbMATH Keywords

empirical likelihoodjump-diffusion modelthreshold reweighted Nadaraya-Watson estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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• Estimating functions for diffusion-type processes
• Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
• Fully Nonparametric Estimation of Scalar Diffusion Models

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