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Local M-estimation for jump-diffusion processes

Author

Listed:
  • Wang, Yunyan
  • Zhang, Lixin
  • Tang, Mingtian

Abstract

In this paper, we develop local M-estimation for the infinitesimal moments in the jump-diffusion model based on discrete-time observations. The consistency and asymptotic normality of the local M-estimators for the infinitesimal moments are obtained under mild conditions. The simulation studies demonstrate that the proposed estimators perform well in robustness.

Suggested Citation

  • Wang, Yunyan & Zhang, Lixin & Tang, Mingtian, 2012. "Local M-estimation for jump-diffusion processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1273-1284.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:7:p:1273-1284
    DOI: 10.1016/j.spl.2012.03.024
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    References listed on IDEAS

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