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

Hélène Halconruy
, Nicolas Marie

Research Center
Université Paris X

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	209-234
Nombre de pages	26
journal	Annals of the Institute of Statistical Mathematics
Volume	76
Numéro de publication	2
Les DOIs	https://doi.org/10.1007/s10463-023-00881-7
état	Publié - 1 avr. 2024
Modification externe	Oui

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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

U2 - 10.1007/s10463-023-00881-7

DO - 10.1007/s10463-023-00881-7

M3 - Article

AN - SCOPUS:85170565925

SN - 0020-3157

VL - 76

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EP - 234

JO - Annals of the Institute of Statistical Mathematics

JF - Annals of the Institute of Statistical Mathematics

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ER -

On a projection least squares estimator for jump diffusion processes

Résumé

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