Asymptotic inference for jump diffusions with state-dependent intensity

DOI10.1111/SJOS.12189zbMATH Open1419.62207OpenAlexW2385744119MaRDI QIDQ2815596FDOQ2815596

Bas J. M. Werker, Feike C. Drost, I. Gaia Becheri

Publication date: 29 June 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12189

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zbMATH Keywords

jump diffusionslocal asymptotic normalitylimit experimentstate-dependent intensity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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Cited In (3)

• Intensity process for a pure jump Lévy structural model with incomplete information
• Estimating functions for jump-diffusions
• Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes

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