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Applied Mathematics-A Journal of Chinese Universities  2019, Vol. 34 Issue (3): 309-325    DOI: 10.1007/s11766-019-3630-4
    
Bias Free Threshold Estimation for Jump Intensity Function
LIN Yi-wei,  LI Zhen-wei,  SONG Yu-ping
School of Mathematics, Shandong University, Jinan 250100, China. School of Finance and Business, Shanghai Normal University, Shanghai 200234, China.
Bias Free Threshold Estimation for Jump Intensity Function
LIN Yi-wei,  LI Zhen-wei,  SONG Yu-ping
School of Mathematics, Shandong University, Jinan 250100, China. School of Finance and Business, Shanghai Normal University, Shanghai 200234, China.
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摘要： In this paper, combining the threshold technique, we reconstruct Nadaraya-Watson estimation using Gamma asymmetric kernels for the unknown jump intensity function of a diffusion process with finite activity jumps. Under mild conditions, we obtain the asymptotic normality for the proposed estimator. Moreover, we have verified the better finite-sampling properties such as bias correction and efficiency gains of the underlying estimator compared with other nonparametric estimators through a Monte Carlo experiment. 
关键词： Jump-diffusion model;  Nonparametric estimation;  Gamma asymmetric kernel    
Abstract: In this paper, combining the threshold technique, we reconstruct Nadaraya-Watson estimation using Gamma asymmetric kernels for the unknown jump intensity function of a diffusion process with finite activity jumps. Under mild conditions, we obtain the asymptotic normality for the proposed estimator. Moreover, we have verified the better finite-sampling properties such as bias correction and efficiency gains of the underlying estimator compared with other nonparametric estimators through a Monte Carlo experiment. 
Key words: Jump-diffusion model    Nonparametric estimation    Gamma asymmetric kernel
出版日期: 2019-09-20
CLC:  62G20  
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LIN Yi-wei
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引用本文:

LIN Yi-wei, LI Zhen-wei, SONG Yu-ping. Bias Free Threshold Estimation for Jump Intensity Function[J]. Applied Mathematics-A Journal of Chinese Universities, 2019, 34(3): 309-325.

LIN Yi-wei, LI Zhen-wei, SONG Yu-ping. Bias Free Threshold Estimation for Jump Intensity Function. Applied Mathematics-A Journal of Chinese Universities, 2019, 34(3): 309-325.

链接本文:

http://www.zjujournals.com/amjcub/CN/10.1007/s11766-019-3630-4    或    http://www.zjujournals.com/amjcub/CN/Y2019/V34/I3/309

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