A Practical Inference for Discretely Observed Jump-diffusions from Finite Samples

DOI10.14490/JJSS.38.391zbMath1248.60096OpenAlexW2019748954MaRDI QIDQ2919547

Yasutaka Shimizu

Publication date: 4 October 2012

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=38_3_391&screenID=AF06S010&noVol=38&noIssue=3

zbMATH Keywords

threshold selectionjump-discriminant filterplug-in methodjump-diffusionsfinite samplesmathematical validity

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09)

Related Items (12)

Jump filtering and efficient drift estimation for Lévy-driven SDEs ⋮ Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation ⋮ Threshold estimation for jump-diffusions under small noise asymptotics ⋮ Unnamed Item ⋮ Quasi-likelihood analysis for the stochastic differential equation with jumps ⋮ Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes ⋮ Recovering Brownian and jump parts from high-frequency observations of a Lévy process ⋮ Estimating diffusion with compound Poisson jumps based on self-normalized residuals ⋮ A new aspect of a risk process and its statistical inference ⋮ Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function ⋮ Global jump filters and quasi-likelihood analysis for volatility ⋮ Threshold selection in jump-discriminant filter for discretely observed jump processes

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