Double-smoothed drift estimation of jump-diffusion model

DOI10.1080/03610926.2015.1078479zbMath1368.62237OpenAlexW2387598915MaRDI QIDQ4976281

Likai Zhou

Publication date: 27 July 2017

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

Full work available at URL: https://doi.org/10.1080/03610926.2015.1078479

zbMATH Keywords

continuous time modellocal timejump-diffusion modeldrift estimationdouble-smoothed

Mathematics Subject Classification ID

Related Items (3)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Estimating functions for jump-diffusions ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

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