Bandwidth selection of nonparametric threshold estimator in jump-diffusion models

被引：12
|
作者：
Wang, Hanchao [1 ]
Zhou, Likai
机构：
[1] Shandong Univ, Zhongtai Inst Financial Studies, Jinan 250100, Peoples R China
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2017年 / 73卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Kernel estimators; Local time; Jump-diffusion; Threshold estimation; Bandwidth selection; CONTINUITY; INFERENCE;
D O I：
10.1016/j.camwa.2016.11.011
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we first study the asymptotic properties of nonparametric threshold estimator of diffusion function in jump-diffusion models. Two-dimensional asymptotics in both the time span and the sampling interval are provided. Our results provide a precise characterization for the limiting distributions of nonparametric threshold estimator. At last, we present the determination of optimal bandwidth for nonparametric threshold estimator. (C) 2016 Elsevier Ltd. All rights reserved.
引用
收藏
页码：211 / 219
页数：9
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