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

DOI10.1016/J.SPL.2016.11.017zbMATH Open1356.93101OpenAlexW2560832285MaRDI QIDQ511537FDOQ511537

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

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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)

Cites Work

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• Statistical multisource-multitarget information fusion.
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• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
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• Large deviations for optimal filtering with fractional Brownian motion
• Large deviations for infinite-dimensional stochastic systems with jumps
• Tracking rapid intracellular movements: a Bayesian random set approach

Cited In (4)

• Title not available (Why is that?)
• Intensity process for a pure jump Lévy structural model with incomplete information
• Statistical inference for the intensity in a partially observed jump diffusion
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model

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