A PRACTICAL INFERENCE FOR DISCRETELY OBSERVED JUMP-DIFFUSIONS FROM FINITE SAMPLES

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概要

• 論文の詳細を見る

• In the inference for jump-diffusion processes, we often need to get the information of the jump part and of the continuous part separately from the data. Although some asymptotic theories have been studied on this issue, a practical interest is the inference from finitely many discrete samples. In this paper we propose a numerical procedure to construct a filter to judge whether or not a jump occurred from finite samples. The paper includes a discussion about the validity of the procedure.

• 一般社団法人日本統計学会の論文

著者

• 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

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