Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527258 | Stochastic Processes and their Applications | 2014 | 32 Pages |
Abstract
In this article, we consider a jump diffusion process (Xt)tâ¥0 observed at discrete times t=0,Î,â¦,nÎ. The sampling interval Î tends to 0 and nÎ tends to infinity. We assume that (Xt)tâ¥0 is ergodic, strictly stationary and exponentially β-mixing. We use a penalised least-square approach to compute two adaptive estimators of the drift function b. We provide bounds for the risks of the two estimators.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Ãmeline Schmisser,