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 likelihoodstochastic differential equationsecond-order diffusion process

Mathematics Subject Classification ID

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

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(7)

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

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