Nonparametric Estimation for Jump-Diffusion CIR Model
arXiv:1310.4021
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.
10 pages