Empirical likelihood based inference for second-order diffusion models

DOI10.1360/012011-251MaRDI QIDQ5017776zbMATH OpenOpenAlexFDO

Authors Yunyan Wang, Lixin Zhang, Hanchao Wang

Publication date 17 December 2021

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/012011-251

zbMATH Keywords

empirical likelihoodsecond-order diffusion processstochastic differential equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

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(7)

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• Empirical likelihood inference for the second-order jump-diffusion model
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• On the second-order properties of empirical likelihood with moment restrictions
• Bias correction estimation for a continuous-time asset return model with jumps
• Non parametric bias reduction of diffusion coefficient in integrated diffusion processes
• Empirical likelihood inference for diffusion processes with jumps

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