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On a Projection Least Squares Estimator for Jump Diffusion Processes

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اقرأ أكثر حفظ في قائمتي
  • معلومة اضافية
    • Contributors:
      Research center (DVRC); Léonard de Vinci Pôle Universitaire; Modélisation aléatoire de Paris X (MODAL'X); Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS)
    • بيانات النشر:
      HAL CCSD
      Springer Verlag
    • الموضوع:
      2024
    • Collection:
      Université Paris Lumières: HAL
    • نبذة مختصرة :
      International audience ; This paper deals with a projection least squares estimator of the drift function of a jump diffusion process $X$ computed from multiple independent copies of $X$ observed on $[0,T]$. Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.
    • Relation:
      hal-03827042; https://hal.science/hal-03827042; https://hal.science/hal-03827042v2/document; https://hal.science/hal-03827042v2/file/On_a_Projection_Least_Squares_Estimator_for_Jump_Diffusion_Processes.pdf
    • الرقم المعرف:
      10.1007/s10463-023-00881-7
    • Rights:
      info:eu-repo/semantics/OpenAccess
    • الرقم المعرف:
      edsbas.32209032