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Mathematics • Vol 11 • No 10
Nonparametric Threshold Estimation for Drift Function in Jump–Diffusion Model of Interest Rate Using Asymmetric Kernel
May 2023 • Yuping Song, Chen Li, Hemin Wang, Jiayi Meng, Hao Liang
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 prope…
Mathematics
Hydraulic Jump
Monte Carlo Method
Kernel Method
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Support Vector Machine