Article ID Journal Published Year Pages File Type
1152056 Statistics & Probability Letters 2013 12 Pages PDF
Abstract

We study the empirical likelihood inference for infinitesimal coefficients in the second-order jump-diffusion model. Under certain regular conditions, we readily verify that an adjusted empirical log-likelihood ratio asymptotically follows 32χ2(1).

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Physical Sciences and Engineering Mathematics Statistics and Probability
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Empirical likelihood inference for the second-order jump-diffusion model
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