Empirical likelihood inference for diffusion processes with jumps

DOI10.1007/s11425-010-4027-2zbMath1208.62129OpenAlexW1971633228MaRDI QIDQ625786

Han Chao Wang, Zheng Yan Lin

Publication date: 25 February 2011

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-010-4027-2

zbMATH Keywords

jump-diffusion modelN-W estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (15)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Local Linear Estimation of Second-order Jump-diffusion Model ⋮ Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps ⋮ Local Linear Estimation of Recurrent Jump—Diffusion Models ⋮ Data driven confidence intervals for diffusion process using double smoothing empirical likelihood ⋮ Bandwidth selection of nonparametric threshold estimator in jump-diffusion models ⋮ Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels ⋮ A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels ⋮ Double-smoothed drift estimation of jump-diffusion model ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ Bias free threshold estimation for jump intensity function ⋮ Empirical Likelihood Inference for Nonparametric Regression Functions with Functional Stationary Ergodic Data ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

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