On a Projection Least Squares Estimator for Jump Diffusion Processes
Statistics Theory
2024-03-19 v2 Statistics Theory
Abstract
This paper deals with a projection least squares estimator of the drift function of a jump diffusion process computed from multiple independent copies of observed on . Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.
Keywords
Cite
@article{arxiv.2210.13164,
title = {On a Projection Least Squares Estimator for Jump Diffusion Processes},
author = {Hélène Halconruy and Nicolas Marie},
journal= {arXiv preprint arXiv:2210.13164},
year = {2024}
}
Comments
19 pages, 3 figures