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.

19 pages, 3 figures

References in corpus (1)

• Nadaraya-Watson Estimator for I.I.D. Paths of Diffusion Processes

Cited by in corpus (1)

• Nonparametric Estimation of the Transition Density Function for Diffusion Processes