Local Linear Estimation of Recurrent Jump—Diffusion Models

DOI10.1080/03610926.2011.569680zbMath1284.60148OpenAlexW2083512733MaRDI QIDQ4904678

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Publication date: 31 January 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.569680

zbMATH Keywords

stochastic differential equationasymptotic normalitylocal timenonparametric estimationjump-diffusion modellocal linear estimationHarris recurrence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (13)

Local Linear Estimation of Second-order Jump-diffusion Model ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps ⋮ Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions ⋮ Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels ⋮ A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ Bias free threshold estimation for jump intensity function ⋮ Nonparametric Gaussian inference for stable processes ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps ⋮ Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels ⋮ Nonparametric estimation of periodic signal disturbed by α-stable noises ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

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