| 2 | Nonparametric Two-Step Estimation of Drift Function in the Jump-Diffusion Model with Noisy Data显示文摘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. | YE Xuguo ZHAO Yanyong LIN Jinguan LONG Weifang | 2022 | Journal of Systems Science & Complexity2022，35，6： | 0 |
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