Optimal iterative threshold-kernel estimation of jump diffusion processes
DOI10.1007/s11203-020-09211-7zbMath1465.62141arXiv1811.07499MaRDI QIDQ2023467
José E. Figueroa-López, Cheng Li, Jeffrey A. Nisen
Publication date: 3 May 2021
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1811.07499
nonparametric estimation; jump detection; volatility estimation; Lévy and additive processes; thresholded estimators
62G20: Asymptotic properties of nonparametric inference
62H30: Classification and discrimination; cluster analysis (statistical aspects)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes
60J76: Jump processes on general state spaces
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