Reweighted Nadaraya-Watson estimation of jump-diffusion models

DOI10.1007/s11425-011-4340-4zbMath1318.62113MaRDI QIDQ1934471

Yanyan Li

Publication date: 28 January 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-011-4340-4

zbMATH Keywords

continuous time model; local time; nonparametric estimation; jump-diffusion model; Harris recurrence; RNW estimator

Mathematics Subject Classification ID

62G05: Nonparametric estimation

60J60: Diffusion processes

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