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Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations

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  1. Blanke, D. & Bosq, D., 2016. "Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 119-137.
  2. Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
  3. Nakahiro Yoshida, 2022. "Quasi-likelihood analysis and its applications," Statistical Inference for Stochastic Processes, Springer, vol. 25(1), pages 43-60, April.
  4. Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
  5. Ren, Panpan & Wu, Jiang-Lun, 2021. "Least squares estimation for path-distribution dependent stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 410(C).
  6. Amorino, Chiara & Gloter, Arnaud, 2020. "Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 5888-5939.
  7. Shen, Leyi & Xia, Xiaoyu & Yan, Litan, 2022. "Least squares estimation for the linear self-repelling diffusion driven by α-stable motions," Statistics & Probability Letters, Elsevier, vol. 181(C).
  8. Song, Yuping & Lin, Zhengyan, 2013. "Empirical likelihood inference for the second-order jump-diffusion model," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 184-195.
  9. Alessandro Gregorio & Francesco Iafrate, 2021. "Regularized bridge-type estimation with multiple penalties," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(5), pages 921-951, October.
  10. Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
  11. Uehara, Yuma, 2019. "Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4051-4081.
  12. Guangjun Shen & Qian Yu, 2019. "Least squares estimator for Ornstein–Uhlenbeck processes driven by fractional Lévy processes from discrete observations," Statistical Papers, Springer, vol. 60(6), pages 2253-2271, December.
  13. I. Gaia Becheri & Feike C. Drost & Bas J.M. Werker, 2016. "Asymptotic Inference for Jump Diffusions with State-Dependent Intensity," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 520-542, June.
  14. Brockwell, Peter J. & Schlemm, Eckhard, 2013. "Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 217-251.
  15. Masahiro Kurisaki, 2023. "Parameter estimation for ergodic linear SDEs from partial and discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 279-330, July.
  16. De Gregorio, A. & Iacus, S.M., 2013. "On a family of test statistics for discretely observed diffusion processes," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 292-316.
  17. Yasutaka Shimizu, 2017. "Threshold Estimation for Stochastic Processes with Small Noise," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 951-988, December.
  18. Shimizu, Yasutaka, 2009. "A new aspect of a risk process and its statistical inference," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 70-77, February.
  19. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
  20. Long, Hongwei & Shimizu, Yasutaka & Sun, Wei, 2013. "Least squares estimators for discretely observed stochastic processes driven by small Lévy noises," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 422-439.
  21. Schmisser, Émeline, 2019. "Non parametric estimation of the diffusion coefficients of a diffusion with jumps," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5364-5405.
  22. Wang, Yunyan & Zhang, Lixin & Tang, Mingtian, 2012. "Local M-estimation for jump-diffusion processes," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1273-1284.
  23. Ogihara, Teppei & Yoshida, Nakahiro, 2014. "Quasi-likelihood analysis for nonsynchronously observed diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2954-3008.
  24. Long, Hongwei, 2009. "Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2076-2085, October.
  25. Uchida, Masayuki & Yoshida, Nakahiro, 2013. "Quasi likelihood analysis of volatility and nondegeneracy of statistical random field," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2851-2876.
  26. Hermann, Simone & Ickstadt, Katja & Müller, Christine H., 2018. "Bayesian prediction for a jump diffusion process – With application to crack growth in fatigue experiments," Reliability Engineering and System Safety, Elsevier, vol. 179(C), pages 83-96.
  27. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
  28. Hacène Djellout & Hui Jiang, 2018. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Post-Print hal-01147189, HAL.
  29. Becheri, I.G., 2012. "Limiting experiments for panel-data and jump-diffusion models," Other publications TiSEM 7e53f6cf-fab1-4f86-9e5d-b, Tilburg University, School of Economics and Management.
  30. Ogawa, Shigeyoshi & Ngo, Hoang-Long, 2010. "Real-time estimation scheme for the spot cross volatility of jump diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(9), pages 1962-1976.
  31. Hacène Djellout & Hui Jiang, 2018. "Large Deviations of the Threshold Estimator of Integrated (Co-)Volatility Vector in the Presence of Jumps," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1606-1624, September.
  32. Yuping Song & Weijie Hou & Zhengyan Lin, 2022. "Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 53-82, January.
  33. Haruhiko Inatsugu & Nakahiro Yoshida, 2021. "Global jump filters and quasi-likelihood analysis for volatility," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 555-598, June.
  34. T. Ogihara & N. Yoshida, 2011. "Quasi-likelihood analysis for the stochastic differential equation with jumps," Statistical Inference for Stochastic Processes, Springer, vol. 14(3), pages 189-229, October.
  35. Hu, Yaozhong & Long, Hongwei, 2009. "Least squares estimator for Ornstein-Uhlenbeck processes driven by [alpha]-stable motions," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2465-2480, August.
  36. Mitsuki Kobayashi & Yasutaka Shimizu, 2023. "Threshold estimation for jump-diffusions under small noise asymptotics," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 361-411, July.
  37. Alessandro DE GREGORIO & Stefano Maria IACUS, 2011. "On a family of test statistics for discretely observed diffusion processes," Departmental Working Papers 2011-37, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  38. Hacène Djellout & Hui Jiang, 2015. "Large Deviations Of The Threshold Estimator Of Integrated (Co-)Volatility Vector In The Presence Of Jumps," Working Papers hal-01147189, HAL.
  39. Yiying Cheng & Yaozhong Hu & Hongwei Long, 2020. "Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 53-81, April.
  40. Yoshida, Nakahiro, 2013. "Martingale expansion in mixed normal limit," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 887-933.
  41. Alessandro DE GREGORIO & Stefano Maria IACUS, 2009. "Pseudo phi-divergence test statistics and multidimensional Ito processes," Departmental Working Papers 2009-48, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  42. Chiara Amorino & Arnaud Gloter, 2021. "Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function," Statistical Inference for Stochastic Processes, Springer, vol. 24(1), pages 61-148, April.
  43. Yusuke Kaino & Masayuki Uchida, 2018. "Hybrid estimators for stochastic differential equations from reduced data," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 435-454, July.
  44. Shimizu, Yasutaka, 2009. "Functional estimation for Lvy measures of semimartingales with Poissonian jumps," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1073-1092, July.
  45. Chiara Amorino & Arnaud Gloter, 2020. "Contrast function estimation for the drift parameter of ergodic jump diffusion process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 279-346, June.
  46. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.
  47. Schmisser, Émeline, 2014. "Non-parametric adaptive estimation of the drift for a jump diffusion process," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 883-914.
  48. Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
  49. Song, Yuping & Cai, Chunchun & Mao, Huijue & Zhu, Min, 2024. "Self-weighted quantile regression estimation for diffusion parameter in jump–diffusion models," Statistics & Probability Letters, Elsevier, vol. 206(C).
  50. Noh, Jungsik & Lee, Seung Y. & Lee, Sangyeol, 2012. "Quantile regression estimation for discretely observed SDE models with compound Poisson jumps," Economics Letters, Elsevier, vol. 117(3), pages 734-738.
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