On a projection least squares estimator for jump diffusion processes

被引：0
作者：
Hélène Halconruy
Nicolas Marie
机构：
[1] Léonard de Vinci Pôle universitaire,Laboratoire Modal’X
[2] Research Center,undefined
[3] Université Paris Nanterre,undefined
来源：
Annals of the Institute of Statistical Mathematics | 2024年 / 76卷
关键词：
Projection least squares estimator; Model selection; Jump diffusion processes;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：209 / 234
页数：25
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