Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps

DOI10.1016/j.spl.2010.04.009zbMath1196.60038OpenAlexW2005714247MaRDI QIDQ988095

Jiang Hui

Publication date: 26 August 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.04.009

zbMATH Keywords

large deviationquadratic variational processLévy processmoderate deviations

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Discrete-time Markov processes on general state spaces (60J05) Large deviations (60F10) Time series analysis of dynamical systems (37M10) Simulation of dynamical systems (37M05)

Related Items (5)

Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Large and moderate deviations of realized covolatility ⋮ Moderate deviation principles for stochastic differential equations with jumps ⋮ Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps ⋮ Large deviation principles of realized Laplace transform of volatility

Cites Work

• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Large deviations for quadratic functionals of Gaussian processes
• Large deviations for quadratic forms of stationary Gaussian processes
• On estimating the diffusion coefficient from discrete observations
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.
• Unnamed Item

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