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