Local M-estimation for jump-diffusion processes

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.

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Year of publication:	2012
Authors:	Wang, Yunyan ; Zhang, Lixin ; Tang, Mingtian
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 7, p. 1273-1284
Publisher:	Elsevier
Subject:	Jump-diffusion process \| Local M-estimator \| Stochastic differential equation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571803