Adaptive nonparametric drift estimation of an integrated jump diffusion process

DOI10.1051/PS/2018005zbMath1409.62161OpenAlexW2748085134MaRDI QIDQ4615437

Benedikt Funke, Emeline Schmisser

Publication date: 28 January 2019

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ps/2018005

zbMATH Keywords

model selectionadaptive estimationdrift estimationmean square estimatorintegrated jump diffusion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes ⋮ Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting) ⋮ Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps ⋮ Optimal convergence rates for the invariant density estimation of jump-diffusion processes

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