Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes

DOI10.1016/J.SPL.2016.11.017MaRDI QIDQ511537zbMATH OpenOpenAlexFDO

Authors Seddik M. Djouadi, Vasileios Maroulas, Xiaoyang Pan, Jie Xiong

Publication date 21 February 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.11.017

zbMATH Keywords

asymptotic normalityconsistencyjump diffusionsPoisson processesleast-squares estimatorpartially observed system

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24)

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Cites work

• scientific article; zbMATH DE number 646825 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
• Large deviations for infinite-dimensional stochastic systems with jumps
• Large deviations for optimal filtering with fractional Brownian motion
• Statistical multisource-multitarget information fusion.
• Tracking rapid intracellular movements: a Bayesian random set approach

Cited in

(4)

• Statistical inference for the intensity in a partially observed jump diffusion
• Intensity process for a pure jump Lévy structural model with incomplete information
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• scientific article; zbMATH DE number 4166205 (Why is no real title available?)

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