Double-smoothed drift estimation of jump-diffusion model

Likai Zhou

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 8, 4137-4149

Abstract: In this paper, we consider the non parametric drift estimation for the jump-diffusion model. We employ the double-smoothed non parametric method, and establish the strong consistency and asymptotic normality for estimator.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2015.1078479 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:8:p:4137-4149

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2015.1078479

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().