Statistical specification of jumps under semiparametric semimartingale models

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Publication:734535

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DOI10.3103/S1066530708030034zbMath1231.62155MaRDI QIDQ734535

D. Kharzeev

Publication date: 13 October 2009

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

consistency; semiparametric model; regression estimation; semimartingales with jumps; specification of jumps

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G20: Asymptotic properties of nonparametric inference

62M09: Non-Markovian processes: estimation

62M05: Markov processes: estimation; hidden Markov models

60G48: Generalizations of martingales

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