Contrast function estimation for the drift parameter of ergodic jump diffusion process

DOI10.1111/sjos.12406zbMath1450.62108arXiv1807.08965OpenAlexW2884941035WikidataQ114078101 ScholiaQ114078101MaRDI QIDQ5118460

Arnaud Gloter, Chiara Amorino

Publication date: 8 September 2020

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.08965

zbMATH Keywords

high-frequency dataergodic propertiesthresholding methodsLévy-driven SDEefficient drift estimation

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60)

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