Central Limit Theorems of Local Polynomial Threshold Estimator for Diffusion Processes with Jumps

DOI10.1111/sjos.12318zbMath1403.62151arXiv1702.00907OpenAlexW2963158706MaRDI QIDQ4685447

Han Chao Wang, Yu Ping Song

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

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

Related Items (5)

Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ Bias free threshold estimation for jump intensity function ⋮ Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps

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