Empirical likelihood inference for the second-order jump-diffusion model

Yuping Song and Zhengyan Lin

Statistics & Probability Letters, 2013, vol. 83, issue 1, 184-195

Abstract: We study the empirical likelihood inference for infinitesimal coefficients in the second-order jump-diffusion model. Under certain regular conditions, we readily verify that an adjusted empirical log-likelihood ratio asymptotically follows 32χ2(1).

Keywords: Empirical likelihood; Second-order jump-diffusion; Nadaraya–Watson estimators (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.09.005

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