Empirical likelihood inference for the second-order jump-diffusion model

DOI10.1016/J.SPL.2012.09.005zbMATH Open1282.60078OpenAlexW2079899945MaRDI QIDQ1933722FDOQ1933722

Authors: Yu Ping Song, Zhengyan Lin 

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.09.005

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zbMATH Keywords

empirical likelihoodNadaraya-Watson estimatorssecond-order jump-diffusion

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Diffusion processes (60J60)

Cited In (4)

• Empirical likelihood based inference for second-order diffusion models
• Bias correction estimation for a continuous-time asset return model with jumps
• Empirical likelihood inference for diffusion processes with jumps
• Adaptive nonparametric drift estimation of an integrated jump diffusion process

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