A practical inference for discretely observed jump-diffusions from finite samples

DOI10.14490/JJSS.38.391MaRDI QIDQ2919547zbMATH OpenOpenAlexFDO

Authors Yasutaka Shimizu

Publication date 4 October 2012

Published in Journal of the Japan Statistical Society (Search for Journal in Brave)

Full work available at URL https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jjss&kijiCd=38_3_391&screenID=AF06S010&noVol=38&noIssue=3

zbMATH Keywords

finite samplesjump-diffusionsjump-discriminant filtermathematical validityplug-in methodthreshold selection

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)

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(17)

• A new aspect of a risk process and its statistical inference
• Recovering Brownian and jump parts from high-frequency observations of a Lévy process
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• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• Jump filtering and efficient drift estimation for Lévy-driven SDEs
• Statistical inference for the intensity in a partially observed jump diffusion
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes
• Threshold selection in jump-discriminant filter for discretely observed jump processes
• scientific article; zbMATH DE number 7387192 (Why is no real title available?)
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
• Threshold estimation for jump-diffusions under small noise asymptotics
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• Robustified Gaussian quasi-likelihood inference for volatility

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