SOME REMARKS ON ESTIMATION OF DIFFUSION COEFFICIENTS FOR JUMP-DIFFUSIONS FROM FINITE SAMPLES - Collections

＜journal article＞
SOME REMARKS ON ESTIMATION OF DIFFUSION COEFFICIENTS FOR JUMP-DIFFUSIONS FROM FINITE SAMPLES

Creator	Creator Name Shimizu, Yasutaka 清水, 泰隆 Affiliation Affiliation Name Graduate School of Engineering Science, Osaka University 大阪大学大学院基礎工学研究科
Language	English
Publisher	Research Association of Statistical Sciences
Publisher	統計科学研究会
Date	2008-12
Source Title	Bulletin of informatics and cybernetics
Vol	40
First Page	51
Last Page	60
Publication Type	Version of Record
Access Rights	open access
Crossref DOI	https://doi.org/10.5109/18993
Related DOI	Bulletin of informatics and cybernetics \|\| 40 \|\| p51-60
Related DOI	http://bic.math.kyushu-u.ac.jp/
Related URI	Bulletin of informatics and cybernetics \|\| 40 \|\| p51-60
Related URI	http://bic.math.kyushu-u.ac.jp/
Relation	Bulletin of informatics and cybernetics \|\| 40 \|\| p51-60
Relation	http://bic.math.kyushu-u.ac.jp/
Abstract	Diffusion coefficients of jump-diffusion processes with finite Levy measure are estimated from discrete observations at points t^n_i = i/n (i = 0, 1, . . . , n) using filtered conditional moments of i...ncrements. The estimation is based on the local time for jump-diffusions and the consistency result is obtained. This is an extension of the result for pure diffusion cases by Florens-Zmirou (1993).show more

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