Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels

DOI10.1080/07362994.2013.811574zbMath1283.62172OpenAlexW2125253937MaRDI QIDQ5746988

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Publication date: 11 February 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.811574

zbMATH Keywords

gamma kernelslocal timesnonparametric estimationHarris recurrencelocal linear methodbeta kernels

Mathematics Subject Classification ID

Related Items (7)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Asymptotic properties of Dirichlet kernel density estimators ⋮ Double-smoothed drift estimation of jump-diffusion model ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ 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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