Empirical likelihood inference for diffusion processes with jumps  

作　　者：Lin ZhengYan Wang HanChao 

机构地区：[1]Zhejiang Univ, Dept Math, Hangzhou 310027, Peoples R China

出　　处：《Science China Mathematics》2010年第7期1802-1813,共12页中国科学：数学（英文版）

基　　金：supported by National Natural Science Foundation of China(Grant No. 10771095);Natural Science Foundation of Jiangsu Province of China

摘　　要：In this paper, we consider the empirical likelihood inference for the jump-diffusion model. We construct the confidence intervals based on the empirical likelihood for the infinitesimal moments in the jump-diffusion models. They are better than the confidence intervals which are based on the asymptotic normality of point estimates.In this paper, we consider the empirical likelihood inference for the jump-diffusion model. We construct the confidence intervals based on the empirical likelihood for the infinitesimal moments in the jump-diffusion models. They are better than the confidence intervals which are based on the asymptotic normality of point estimates.

关 键 词：empirical LIKELIHOOD N-W ESTIMATOR JUMP-DIFFUSION MODEL 

分 类 号：N[自然科学总论]