Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models

被引：0
|
作者：
Song, Yuping [1 ]
Cai, Chunchun [1 ]
Mao, Huijue [1 ]
Min, Zhu [1 ]
机构：
[1] Shanghai Normal Univ, Sch Finance & Business, Shanghai, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2024年 / 206卷
基金：
中国国家自然科学基金;
关键词：
Self-weighted quantile estimator; Diffusion parameter; Jump-diffusion model; Convergence in probability; Interest rate;
D O I：
10.1016/j.spl.2023.110011
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The self-weighted quantile regression estimator for the diffusion parameter in diffusion models with jumps is proposed. The consistency of the underlying estimator is obtained. Moreover, the better finite-sample properties are verified through the Monte-Carlo simulation study and empirical analysis.
引用
收藏
页数：6
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