Threshold selection in jump-discriminant filter for discretely observed jump processes

DOI10.1007/S10260-010-0134-ZzbMath1332.62305OpenAlexW2032465166MaRDI QIDQ257568

Yasutaka Shimizu

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-010-0134-z

zbMATH Keywords

asymptotic unbiasednessintegrated-volatilityjump-discriminant filterplug-in methodthreshold estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

Related Items (5)

Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ Threshold estimation for jump-diffusions under small noise asymptotics ⋮ Unnamed Item ⋮ An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps ⋮ ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS

Cites Work

• Unnamed Item
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• A Practical Inference for Discretely Observed Jump-diffusions from Finite Samples
• Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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