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arXiv · 1310.4021

Nonparametric Estimation for Jump-Diffusion CIR Model

Wei Xu
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Abstract

We study the nonparametric estimation for the intensity of Poisson random measure in jump-diffusion CIR model based on the low frequency observations. This is given in terms of the minimization of norms on a nonempty, closed and convex subset of some special Hilbert space. We establish the measurability of the estimator and derive its consistency and asymptotic risk bound.

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Wei Xu. 2016-03-09. Nonparametric Estimation for Jump-Diffusion CIR Model. https://arxiv.org/abs/1310.4021

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