Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps
DOI10.1016/J.SPL.2010.04.009zbMATH Open1196.60038OpenAlexW2005714247MaRDI QIDQ988095FDOQ988095
Authors: Jiang Hui 
Publication date: 26 August 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2010.04.009
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Linear regression; mixed models (62J05) Large deviations (60F10) Time series analysis of dynamical systems (37M10) Discrete-time Markov processes on general state spaces (60J05) Simulation of dynamical systems (37M05)
Cites Work
- Large deviations for quadratic forms of stationary Gaussian processes
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
- On estimating the diffusion coefficient from discrete observations
- Title not available (Why is that?)
- Large deviations for quadratic functionals of Gaussian processes
- Large and moderate deviations for estimators of quadratic variational processes of diffusions.
Cited In (11)
- Moderate deviation principles for stochastic differential equations with jumps
- Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
- Estimation of the realized (co-)volatility vector: large deviations approach
- Non-central moderate deviations for compound fractional Poisson processes
- An extension to moderate deviations for stochastic differential equations with Poisson jumps and applications
- Moderate deviations for multi-dimensional diffusion processes
- Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
- Large deviation principles of realized Laplace transform of volatility
- Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps
- Large and moderate deviations of realized covolatility
- Moderate deviations for estimators under exponentially stochastic differentiability conditions
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