Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models

DOI10.1016/j.spl.2023.110011zbMath1530.62033OpenAlexW4389537958MaRDI QIDQ6192608

Huijue Mao, Yu Ping Song, Min Zhu, Chunchun Cai

Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1016/j.spl.2023.110011

zbMATH Keywords

interest ratejump-diffusion modelconvergence in probabilitydiffusion parameterself-weighted quantile estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Cites Work

• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Testing for jumps in a discretely observed process
• The surprise element: Jumps in interest rates.
• Self-weighted quantile estimation of autoregressive conditional duration model
• Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
• Regression Quantiles
• Quantile Regression Estimator for GARCH Models
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• An equilibrium characterization of the term structure
• Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors

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