DENSITY ESTIMATION OF LEVY MEASURES FOR DISCRETELY OBSERVED DIFFUSION PROCESSES WITH JUMPS

スポンサーリンク

概要

• 論文の詳細を見る

• We study a nonparametric estimation of Levy measures for multidimensional jump-diffusion models from some discrete observations. We suppose that the jump term is driven by a Levy process with finite Levy measure, that is, a compound Poisson process. We construct a kernel-estimator of the Levy density under a sampling scheme where the terminal time tends to infinity and at the same time the distance between the observations tends to zero fast enough, and show the L^2-consistency and the optimal rate in the MSB sense. First, we consider the case where the observations are given continuously and then compare it to the discretely observed case.

• 一般社団法人日本統計学会の論文

著者

• Shimizu Yasutaka

  Osaka Univ. Osaka Jpn

• Shimizu Yasutaka

  Division of Mathematical Science, Graduate School of Engineering Science, Osaka University

• Shimizu Yasutaka

  Division Of Mathematical Science Graduate School Of Engineering Science Osaka University

関連論文

• DENSITY ESTIMATION OF LEVY MEASURES FOR DISCRETELY OBSERVED DIFFUSION PROCESSES WITH JUMPS
• A PRACTICAL INFERENCE FOR DISCRETELY OBSERVED JUMP-DIFFUSIONS FROM FINITE SAMPLES

スポンサーリンク