Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes

DOI10.1016/j.spl.2016.11.017zbMath1356.93101OpenAlexW2560832285MaRDI QIDQ511537

Vasileios Maroulas, Xiaoyang Pan, Seddik M. Djouadi, Jie Xiong

Publication date: 21 February 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.11.017

zbMATH Keywords

consistencyasymptotic normalityleast-squares estimatorPoisson processesjump diffusionspartially observed system

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

Related Items (1)

Statistical inference for the intensity in a partially observed jump diffusion

Cites Work

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• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
• Tracking rapid intracellular movements: a Bayesian random set approach
• Large deviations for optimal filtering with fractional Brownian motion
• LARGE DEVIATIONS FOR INFINITE‐DIMENSIONAL STOCHASTIC SYSTEMS WITH JUMPS

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