| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4958811 | Computers & Mathematics with Applications | 2017 | 9 Pages |
Abstract
In this paper, we first study the asymptotic properties of nonparametric threshold estimator of diffusion function in jump-diffusion models. Two-dimensional asymptotics in both the time span and the sampling interval are provided. Our results provide a precise characterization for the limiting distributions of nonparametric threshold estimator. At last, we present the determination of optimal bandwidth for nonparametric threshold estimator.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Hanchao Wang, Likai Zhou,