Open AccessThreshold reweighted Nadaraya–Watson estimation of jump-diffusion models
Author(s) -
Kunyang Song,
Yisheng Song,
Hanchao Wang
Publication year - 2022
Publication title -
probability, uncertainty and quantitative risk
Language(s) - English
Resource type - Journals
eISSN - 2095-9672
pISSN - 2367-0126
DOI - 10.3934/puqr.2022003
Subject(s) - estimator , jump , diffusion , mathematics , monte carlo method , econometrics , statistics , statistical physics , physics , quantum mechanics , thermodynamics
In this paper, we propose a new method to estimate the diffusion function in the jump-diffusion model. First, a threshold reweighted Nadaraya–Watson-type estimator is introduced. Then, we establish asymptotic normality for the estimator and conduct Monte Carlo simulations through two examples to verify the better finite-sampling properties. Finally, our estimator is demonstrated through the actual data of the Shanghai Interbank Offered Rate in China.