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

Jiang Hui

Statistics & Probability Letters, 2010, vol. 80, issue 17-18, 1297-1305

Abstract: We consider the stochastic differential equation driven by Lévy processes. Using discrete observations, moderate deviations for the threshold estimator of the quadratic variational process are studied. Moreover, we also obtain the functional moderate deviations.

Keywords: Large; deviation; Levy; process; Moderate; deviations; Quadratic; variational; process (search for similar items in EconPapers)
Date: 2010
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