Bias reduction estimation for drift coefficient in diffusion models with jumps
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DOI: 10.1080/02331888.2023.2201504
Abstract: In this paper, we reconstruct the local linear threshold estimator for the drift coefficient of a semimartingale with jumps. Under mild conditions, we provide the asymptotic normality of our estimator in the presence of finite… read more here.
Keywords: bias reduction; drift coefficient; estimation drift; reduction estimation ... See more keywords
Self-Weighted Quantile Estimation for Drift Coefficients of Ornstein–Uhlenbeck Processes with Jumps and Its Application to Statistical Arbitrage
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DOI: 10.3390/math13091399
Abstract: The estimation of drift parameters in the Ornstein–Uhlenbeck (O-U) process with jumps primarily employs methods such as maximum likelihood estimation, least squares estimation, and least absolute deviation estimation. These methods generally assume specific error distributions… read more here.
Keywords: self weighted; weighted quantile; estimation drift; estimator ... See more keywords