Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps

DOI10.1016/J.SPL.2010.04.009MaRDI QIDQ988095zbMATHOpenAlexFDO

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

zbMATH Keywords

large deviationmoderate deviationsquadratic variational processLévy process

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1069630 (Why is no real title available?)
• Large and moderate deviations for estimators of quadratic variational processes of diffusions.
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Large deviations for quadratic forms of stationary Gaussian processes
• Large deviations for quadratic functionals of Gaussian processes
• On estimating the diffusion coefficient from discrete observations

Cited in

(11)

• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
• An extension to moderate deviations for stochastic differential equations with Poisson jumps and applications
• Moderate deviations for multi-dimensional diffusion processes
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process
• Large and moderate deviations of realized covolatility
• Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps
• Non-central moderate deviations for compound fractional Poisson processes
• Large deviation principles of realized Laplace transform of volatility
• Estimation of the realized (co-)volatility vector: large deviations approach
• Moderate deviations for estimators under exponentially stochastic differentiability conditions
• Moderate deviation principles for stochastic differential equations with jumps

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