Model selection for Lévy measures in diffusion processes with jumps from discrete observations

DOI10.1016/j.jspi.2008.05.009zbMath1149.62073OpenAlexW2050828310MaRDI QIDQ958809

Yasutaka Shimizu

Publication date: 8 December 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.05.009

zbMATH Keywords

model selectionexpectationsdiscrete observationsunbiasednessLévy measuresasymptotic filtersdiffusion processes with jumpsquasi-information criteria

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Jump‐robust testing of volatility functions in continuous time models ⋮ Threshold selection in jump-discriminant filter for discretely observed jump processes

Cites Work

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• Estimation of parameters for diffusion processes with jumps from discrete observations
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Asymptotic inference in Levy processes of the discontinuous type
• Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
• Inference for gamma and stable processes
• Asymptotic Statistics
• Financial Modelling with Jump Processes
• Information criteria in model selection for mixing processes

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