On a projection least squares estimator for jump diffusion processes

被引：1

作者：

Halconruy, Helene ^{[1
]}

Marie, Nicolas ^{[2
]}

机构：

[1] Leonard de Vinci Pole Univ, Res Ctr, 12 Ave Leonard de Vinci, F-92400 Courbevoie, France

[2] Univ Paris Nanterre, Lab Modal X, 200 Ave Republ, F-92001 Nanterre, France

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2024年 / 76卷 / 02期

关键词：

Projection least squares estimator; Model selection; Jump diffusion processes; ADAPTIVE ESTIMATION; DRIFT ESTIMATION; SDE DRIVEN;

D O I：

10.1007/s10463-023-00881-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper deals with a projection least squares estimator of the drift function of a jump diffusion process X computed from multiple independent copies of X observed on [0, T]. Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.

引用

页码：209 / 234

页数：26

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