On a projection least squares estimator for jump diffusion processes

Hélène Halconruy () and Nicolas Marie ()
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Hélène Halconruy: Léonard de Vinci Pôle universitaire, Research Center
Nicolas Marie: Université Paris Nanterre

Annals of the Institute of Statistical Mathematics, 2024, vol. 76, issue 2, No 2, 209-234

Abstract: Abstract This paper deals with a projection least squares estimator of the drift function of a jump diffusion process X computed from multiple independent copies of X observed on [0, T]. Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.

Keywords: Projection least squares estimator; Model selection; Jump diffusion processes (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10463-023-00881-7

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