Local Linear Estimation of Second-order Jump-diffusion Model |
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| Authors: | Yingyu Chen Lixin Zhang |
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| Institution: | 1. Department of Mathematics, Zhejiang University, Hangzhou, Chinachenyingyu@zju.edu.cn;3. Department of Mathematics, Zhejiang University, Hangzhou, China |
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| Abstract: | In this article, we propose the local linear estimators of the drift coefficient and diffusion coefficient in the second-order jump-diffusion model. We also show the consistency and asymptotic normality of these estimators under mild conditions. |
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| Keywords: | Second-order jump-diffusion Local linear estimation Weak consistency Asymptotic normality |
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