On a Projection Least Squares Estimator for Jump Diffusion Processes - Archive ouverte HAL
Article Dans Une Revue Annals of the Institute of Statistical Mathematics Année : 2024

On a Projection Least Squares Estimator for Jump Diffusion Processes

Nicolas Marie

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.
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Dates et versions

hal-03827042 , version 1 (24-10-2022)
hal-03827042 , version 2 (25-07-2023)

Identifiants

Citer

Hélène Halconruy, Nicolas Marie. On a Projection Least Squares Estimator for Jump Diffusion Processes. Annals of the Institute of Statistical Mathematics, 2024, 76, pp.209-234. ⟨10.1007/s10463-023-00881-7⟩. ⟨hal-03827042v2⟩
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