Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
DOI10.1016/j.spl.2023.110011zbMath1530.62033OpenAlexW4389537958MaRDI QIDQ6192608
Huijue Mao, Yu Ping Song, Min Zhu, Chunchun Cai
Publication date: 13 February 2024
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2023.110011
interest ratejump-diffusion modelconvergence in probabilitydiffusion parameterself-weighted quantile estimator
Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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