摘要
This paper considers a nonparametric diffusion process whose drift and diffusion coefficients are nonparametric functions of the state variable.A two-step approach to estimate the drift function of a jump-diffusion model in noisy settings is proposed.The proposed estimator is shown to be consistent and asymptotically normal in the presence of finite activity jumps.Simulated experiments and a real data application are undertaken to assess the finite sample performance of the newly proposed method.
基金
the National Natural Science Foundation of China under Grant No.11961038
Cultivating Project of National Natural Science Foundation(QianKeHe talent-development platform[2017]No.5723,QianKeHe talent-development platform[2017]No.5723-02)
supported by the National Natural Science Foundation of China under Grant Nos.12071220,11701286
supported by the National Natural Science Foundation of China under Grant Nos.11831008,11971235
Young Talents Project of Science and Technology Research Program of Education Department in Guizhou Province(Qianjiao KYword[2018]364)
Science and Technology Foundation of Guizhou Province(QianKeHejichu[2019]1286)
Social Science Foundation of Jiangsu Province under Grant No.20EYC008
the National Statistical Research Project of China under Grant No.2020LZ35
the National Statistical Research Project of China under Grant No.2020LZ19
Open Project of Jiangsu Key Laboratory of Financial Engineering under Grant No.NSK2021-12。
