Non-parametric adaptive estimation of the drift for a jump diffusion process

Émeline Schmisser

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 883-914

Abstract: In this article, we consider a jump diffusion process (Xt)t≥0 observed at discrete times t=0,Δ,…,nΔ. The sampling interval Δ tends to 0 and nΔ tends to infinity. We assume that (Xt)t≥0 is ergodic, strictly stationary and exponentially β-mixing. We use a penalised least-square approach to compute two adaptive estimators of the drift function b. We provide bounds for the risks of the two estimators.

Keywords: Jump diffusions; Nonparametric estimation; Drift estimation; Model selection (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2013.09.012

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