Statistical inference for the intensity in a partially observed jump diffusion
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2018.10.026
Abstract: Abstract This article focuses on a partially observed linear diffusion with jumps described by a Poisson process. Precisely, we study an inferential problem for the intensity of the Poisson process by establishing a moderate deviation… read more here.
Keywords: statistical inference; inference intensity; intensity partially; diffusion ... See more keywords