Threshold reweighted Nadaraya–Watson estimation of jump-diffusion models
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 ver...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
American Institute of Mathematical Sciences
2022
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |