Local M-estimation for jump-diffusion processes

Yunyan Wang, Lixin Zhang and Mingtian Tang

Statistics & Probability Letters, 2012, vol. 82, issue 7, 1273-1284

Abstract: In this paper, we develop local M-estimation for the infinitesimal moments in the jump-diffusion model based on discrete-time observations. The consistency and asymptotic normality of the local M-estimators for the infinitesimal moments are obtained under mild conditions. The simulation studies demonstrate that the proposed estimators perform well in robustness.

Keywords: Jump-diffusion process; Local M-estimator; Stochastic differential equation (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:7:p:1273-1284

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DOI: 10.1016/j.spl.2012.03.024

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