Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes
type: Item
instance of: scholarly article
title: Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes
zbMATH Open document ID: 1356.93101
author: Seddik M. Djouadi
author: Vasileios Maroulas
author: Xiaoyang Pan
author: Jie Xiong
published in: Statistics \& Probability Letters
publication date: 2017-02-21T00:00:00Z
Mathematics Subject Classification ID: 93E24
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 93E10
zbMATH DE Number: 6687620
zbMATH Keywords: consistency
zbMATH Keywords: asymptotic normality
zbMATH Keywords: jump diffusions
zbMATH Keywords: least-squares estimator
zbMATH Keywords: Poisson processes
zbMATH Keywords: partially observed system
MaRDI profile type: Publication
full work available at URL: j.spl.2016.11.017
OpenAlex ID: W2560832285
cites work: Q4836494
cites work: Q5313290
cites work: Q4307745
cites work: Q5293685
cites work: LARGE DEVIATIONS FOR INFINITE‐DIMENSIONAL STOCHASTIC SYSTEMS WITH JUMPS
cites work: Tracking rapid intracellular movements: a Bayesian random set approach
cites work: Large deviations for optimal filtering with fractional Brownian motion
cites work: Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
DOI: 10.1016/J.SPL.2016.11.017
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description: scientific article; zbMATH DE number 6687620