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arXiv · 2210.13164

On a Projection Least Squares Estimator for Jump Diffusion Processes

Hélène Halconruy·Nicolas Marie
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Abstract

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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Hélène Halconruy, Nicolas Marie. 2022-10-24. On a Projection Least Squares Estimator for Jump Diffusion Processes. https://doi.org/10.1007/s10463-023-00881-7

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