Parameter inference for multivariate stochastic processes with jumps
This dissertation addresses various aspects of estimation and inference for multivariate stochastic processes with jumps. The first chapter develops an unbiased Monte Carlo estimator of the transition density of a multivariate jump-diffusion process. The drift, volatility, jump intensity, and jum...
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| Language: | en_US |
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2016
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| Online Access: | https://hdl.handle.net/2144/17713 |