跳跃扩散模型的阈值重加权Nadaraya-Watson估计

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2022-01-01 DOI:10.3934/puqr.2022003

Kunyang Song, Yuping Song, Hanchao Wang

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引用次数: 0

摘要

本文提出了一种估计跳跃扩散模型中扩散函数的新方法。首先，引入了一种阈值重加权的nadaraya - watson型估计量。然后，我们建立了估计量的渐近正态性，并通过两个例子进行了蒙特卡罗模拟，以验证较好的有限抽样性质。最后，通过上海银行同业拆放利率的实际数据对我们的估计进行了验证。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Threshold reweighted Nadaraya–Watson estimation of jump-diffusion models

In this paper, we propose a new method to estimate the diffusion function in the jump-diffusion model. First, a threshold reweighted Nadaraya–Watson-type estimator is introduced. Then, we establish asymptotic normality for the estimator and conduct Monte Carlo simulations through two examples to verify the better finite-sampling properties. Finally, our estimator is demonstrated through the actual data of the Shanghai Interbank Offered Rate in China.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.

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