Nonparametric Estimation of Second-Order Jump-Diffusion Model
Statistics Theory
2017-07-07 v2 Statistics Theory
Abstract
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalities of the estimators.
Cite
@article{arxiv.1106.5547,
title = {Nonparametric Estimation of Second-Order Jump-Diffusion Model},
author = {Zheng-Yan Lin and Yu-Ping Song and Han-Chao Wang},
journal= {arXiv preprint arXiv:1106.5547},
year = {2017}
}
Comments
This paper has been withdrawn since there are many mistakes in the proof