Statistical specification of jumps under semiparametric semimartingale models

Ya Shimizu*

*この研究の対応する著者

研究成果: Article査読

抄録

We consider a semimartingale with jumps that are driven by a finite activity Lévy process. Suppose that the Lévy measure is completely unknown, and that the jump component has a Markovian structure depending on unknown parameters. This paper concentrates on estimating the parameters from continuous observations under the nonparametric setting on the Lévy measure. The estimating function is proposed by way of nonparametric approach for some regression functions. In the end, we can specify jumps of the underlying Lévy process and estimate some Lévy characteristics jointly.

本文言語English
ページ(範囲)209-227
ページ数19
ジャーナルMathematical Methods of Statistics
17
3
DOI
出版ステータスPublished - 2008 9
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 統計学、確率および不確実性

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