Nonparametric Estimation of Second-Order Jump-Diffusion Model

Details Nonparametric Estimation of Second-Order Jump-Diffusion Model Nonparametric Estimation of Second-Order Jump-Diffusion Model

2011-06-28

arxiv.org/abs/1106.5547v1

Mathematics

Statistics Theory

Scientific paper

We study the nonparametric estimators of the infinitesimal coefficients of
the second-order jump-diffusion models. Under the mild conditions, we obtain
the weak consistency and the asymptotic normalities of the estimators.

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