Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152101 | Statistics & Probability Letters | 2012 | 12 Pages |
Abstract
In this paper, we develop local MM-estimation for the infinitesimal moments in the jump-diffusion model based on discrete-time observations. The consistency and asymptotic normality of the local MM-estimators for the infinitesimal moments are obtained under mild conditions. The simulation studies demonstrate that the proposed estimators perform well in robustness.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yunyan Wang, Lixin Zhang, Mingtian Tang,