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

DOI10.1111/SJOS.12318zbMATH Open1403.62151arXiv1702.00907OpenAlexW2963158706MaRDI QIDQ4685447FDOQ4685447

Authors: Yu Ping Song, Hanchao Wang 

Publication date: 8 October 2018

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

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.

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

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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)

Cited In (9)

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

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