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Local Nonparametric Estimation for Second-Order Jump-Diffusion Model Using Gamma Asymmetric Kernels
Yuping Song, Hanchao Wang
This paper discusses the local linear smoothing to estimate the unknown first and second infinitesimal moments in second-order jump-diffusion model based on Gamma asymmetric kernel…
Discretization Error of Stochastic Iterated Integrals
Yuping Song, Hanchao Wang
In this paper, the weak convergence about the discretization error of stochastic iterated integrals in the Skorohod sense are studied, while the integrands and integrators of itera…
One-step Local M-estimator for Integrated Jump-Diffusion Models
Yuping Song, Hanchao Wang
In this paper, robust nonparametric estimators, instead of local linear estimators, are adapted for infinitesimal coefficients associated with integrated jump-diffusion models to a…
Central Limit Theorems of Local Polynomial Threshold Estimators for Diffusion Processes with Jumps
Yuping Song, Hanchao Wang
Central limit theorems play an important role in the study of statistical inference for stochastic processes. However, when the nonparametric local polynomial threshold estimator,…