Wang, Yunyan; Zhang, Lixin; Tang, Mingtian - In: Statistics & Probability Letters 82 (2012) 7, pp. 1273-1284
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...
