Nonparametric Estimation for Jump-Diffusion CIR Model
Statistics Theory
2016-03-10 v4 Probability
Statistics Theory
Abstract
We study the nonparametric estimation for the intensity of Poisson random measure in jump-diffusion CIR model based on the low frequency observations. This is given in terms of the minimization of norms on a nonempty, closed and convex subset of some special Hilbert space. We establish the measurability of the estimator and derive its consistency and asymptotic risk bound.
Cite
@article{arxiv.1310.4021,
title = {Nonparametric Estimation for Jump-Diffusion CIR Model},
author = {Wei Xu},
journal= {arXiv preprint arXiv:1310.4021},
year = {2016}
}
Comments
10 pages