Threshold reweighted Nadaraya–Watson estimation of jump-diffusion models

IF 1 2区数学 Q3 STATISTICS & PROBABILITY

Probability Uncertainty and Quantitative Risk Pub Date : 2022-01-01 DOI:10.3934/puqr.2022003

Kunyang Song, Yuping Song, Hanchao Wang

引用次数: 0

Abstract

In this paper, we propose a new method to estimate the diffusion function in the jump-diffusion model. First, a threshold reweighted Nadaraya–Watson-type estimator is introduced. Then, we establish asymptotic normality for the estimator and conduct Monte Carlo simulations through two examples to verify the better finite-sampling properties. Finally, our estimator is demonstrated through the actual data of the Shanghai Interbank Offered Rate in China.

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跳跃扩散模型的阈值重加权Nadaraya-Watson估计

本文提出了一种估计跳跃扩散模型中扩散函数的新方法。首先，引入了一种阈值重加权的nadaraya - watson型估计量。然后，我们建立了估计量的渐近正态性，并通过两个例子进行了蒙特卡罗模拟，以验证较好的有限抽样性质。最后，通过上海银行同业拆放利率的实际数据对我们的估计进行了验证。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.