On a Projection Least Squares Estimator for Jump Diffusion Processes
Résumé
This paper deals with a projection least squares estimator of the drift function of a jump diffusion process $X$ computed from multiple independent copies of $X$ observed on $[0,T]$. Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.
Domaines
Statistiques [math.ST]
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On_a_Projection_Least_Squares_Estimator_for_Jump_Diffusion_Processes.pdf (703.47 Ko)
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