Threshold selection in jump-discriminant filter for discretely observed jump processes

Yasutaka Shimizu*

*この研究の対応する著者

研究成果: Article査読

8 被引用数 (Scopus)

抄録

Threshold estimation is one of the useful techniques in the inference for jump-type stochastic processes from discrete observations. In this method, a jump-discriminant filter is used to infer the continuous part and the jump part separately. Although there are several choices for the filter, statistics constructed via filters are often sensitive to the choice. This paper presents some numerical procedures for selecting a suitable filter based on observations.

本文言語English
ページ(範囲)355-378
ページ数24
ジャーナルStatistical Methods and Applications
19
3
DOI
出版ステータスPublished - 2010
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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