Threshold selection in jump-discriminant filter for discretely observed jump processes (Q257568): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62M09 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number: 6557251 / rank | |||
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threshold estimation | |||
| Property / zbMATH Keywords: threshold estimation / rank | |||
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jump-discriminant filter | |||
| Property / zbMATH Keywords: jump-discriminant filter / rank | |||
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integrated-volatility | |||
| Property / zbMATH Keywords: integrated-volatility / rank | |||
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asymptotic unbiasedness | |||
| Property / zbMATH Keywords: asymptotic unbiasedness / rank | |||
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plug-in method | |||
| Property / zbMATH Keywords: plug-in method / rank | |||
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Revision as of 12:40, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Threshold selection in jump-discriminant filter for discretely observed jump processes |
scientific article |
Statements
Threshold selection in jump-discriminant filter for discretely observed jump processes (English)
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17 March 2016
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threshold estimation
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jump-discriminant filter
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integrated-volatility
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asymptotic unbiasedness
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plug-in method
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