Central limit theorems of local polynomial threshold estimator for diffusion processes with jumps

DOI10.1111/SJOS.12318MaRDI QIDQ4685447zbMATH OpenOpenAlexFDO

Authors Yu Ping Song, Hanchao Wang

Publication date 8 October 2018

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

Full work available at URL https://arxiv.org/abs/1702.00907

zbMATH Keywords

central limit theoremdiffusion processes with finite or infinite activity jumpsJacod's stable convergence theoremlocal polynomial threshold estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Central limit and other weak theorems (60F05) Diffusion processes (60J60)

Abstract: Central limit theorems play an important role in the study of statistical inference for stochastic processes. However, when the nonparametric local polynomial threshold estimator, especially local linear case, is employed to estimate the diffusion coefficients of diffusion processes, the adaptive and predictable structure of the estimator conditionally on the $sigma-$field generated by diffusion processes is destroyed, the classical central limit theorem for martingale difference sequences can not work. In this paper, we proved the central limit theorems of local polynomial threshold estimators for the volatility function in diffusion processes with jumps. We believe that our proof for local polynomial threshold estimators provides a new method in this fields, especially local linear case.

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Cited in

(9)

• Central limit results for jump diffusions with mean field interaction and a common factor
• Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
• Bias free threshold estimation for jump intensity function
• The marginal distribution function of threshold-type processes with central symmetric innovations
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
• Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
• Local properties of the limiting distribution of the statistical estimator for jump point of a density
• Bias reduction estimation for drift coefficient in diffusion models with jumps

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