On a projection least squares estimator for jump diffusion processes

Hélène Halconruy; Nicolas Marie

doi:10.1007/s10463-023-00881-7

On a projection least squares estimator for jump diffusion processes

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	209-234
Number of pages	26
Journal	Annals of the Institute of Statistical Mathematics
Volume	76
Issue number	2
DOIs	https://doi.org/10.1007/s10463-023-00881-7
Publication status	Published - 1 Apr 2024
Externally published	Yes

Keywords

Jump diffusion processes
Model selection
Projection least squares estimator

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10.1007/s10463-023-00881-7

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title = "On a projection least squares estimator for jump diffusion processes",

abstract = "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.",

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year = "2024",

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AU - Marie, Nicolas

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N2 - 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.

AB - 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.

KW - Jump diffusion processes

KW - Model selection

KW - Projection least squares estimator

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DO - 10.1007/s10463-023-00881-7

M3 - Article

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JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

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On a projection least squares estimator for jump diffusion processes

Abstract

Keywords

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