Nonparametric Threshold Estimation for Drift Function in Jump–Diffusion Model of Interest Rate Using Asymmetric Kernel Article Swipe
Yuping Song
,
Chen Li
,
Hemin Wang
,
Jiayi Meng
,
Hao Liang
·
YOU?
·
· 2023
· Open Access
·
· DOI: https://doi.org/10.3390/math11102281
YOU?
·
· 2023
· Open Access
·
· DOI: https://doi.org/10.3390/math11102281
The existing estimators for the drift coefficient in the diffusion model with jumps involve jump components and possess larger boundary error. How to effectively estimate the drift function is an important issue that faces challenges and has theoretical significance. In this paper, the gamma asymmetric kernel for boundary correction and threshold function eliminating jump impacts are combined to estimate the unknown drift coefficient in the jump diffusion process of interest rate. The asymptotic large sample property and the better finite sample property through the Monte Carlo numerical simulation experiment and the empirical analysis of SHIBOR and LIBOR for the corresponding estimator are considered in detail. It is found that the estimator proposed in this paper can correct the estimation error near or far away from the origin point, which provides a more asymptotic unbiased estimator for the drift function in diffusion models with jumps.
Related Topics
Concepts
Estimator
Jump diffusion
Mathematics
Jump
Diffusion
Kernel smoother
Boundary (topology)
Function (biology)
Monte Carlo method
Kernel density estimation
Applied mathematics
Kernel (algebra)
Kernel method
Statistics
Mathematical analysis
Computer science
Physics
Evolutionary biology
Radial basis function kernel
Artificial intelligence
Combinatorics
Biology
Thermodynamics
Quantum mechanics
Support vector machine
Metadata
- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.3390/math11102281
- https://www.mdpi.com/2227-7390/11/10/2281/pdf?version=1683979243
- OA Status
- gold
- References
- 26
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4382813110
All OpenAlex metadata
Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W4382813110Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.3390/math11102281Digital Object Identifier
- Title
-
Nonparametric Threshold Estimation for Drift Function in Jump–Diffusion Model of Interest Rate Using Asymmetric KernelWork title
- Type
-
articleOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2023Year of publication
- Publication date
-
2023-05-13Full publication date if available
- Authors
-
Yuping Song, Chen Li, Hemin Wang, Jiayi Meng, Hao LiangList of authors in order
- Landing page
-
https://doi.org/10.3390/math11102281Publisher landing page
- PDF URL
-
https://www.mdpi.com/2227-7390/11/10/2281/pdf?version=1683979243Direct link to full text PDF
- Open access
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YesWhether a free full text is available
- OA status
-
goldOpen access status per OpenAlex
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https://www.mdpi.com/2227-7390/11/10/2281/pdf?version=1683979243Direct OA link when available
- Concepts
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Estimator, Jump diffusion, Mathematics, Jump, Diffusion, Kernel smoother, Boundary (topology), Function (biology), Monte Carlo method, Kernel density estimation, Applied mathematics, Kernel (algebra), Kernel method, Statistics, Mathematical analysis, Computer science, Physics, Evolutionary biology, Radial basis function kernel, Artificial intelligence, Combinatorics, Biology, Thermodynamics, Quantum mechanics, Support vector machineTop concepts (fields/topics) attached by OpenAlex
- Cited by
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0Total citation count in OpenAlex
- References (count)
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26Number of works referenced by this work
- Related works (count)
-
10Other works algorithmically related by OpenAlex
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