Reweighted Nadaraya-Watson estimation of jump-diffusion models
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Publication:1934471
DOI10.1007/s11425-011-4340-4zbMath1318.62113MaRDI QIDQ1934471
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
continuous time model; local time; nonparametric estimation; jump-diffusion model; Harris recurrence; RNW estimator
Related Items
Local Linear Estimation of Recurrent Jump—Diffusion Models, A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels, Double-smoothed drift estimation of jump-diffusion model, Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels, Bandwidth selection of nonparametric threshold estimator in jump-diffusion models, Non parametric estimation of the diffusion coefficients of a diffusion with jumps, Bias free threshold estimation for jump intensity function
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