Bias Free Threshold Estimation for Jump Intensity Function
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
