A PRACTICAL INFERENCE FOR DISCRETELY OBSERVED JUMP-DIFFUSIONS FROM FINITE SAMPLES
A PRACTICAL INFERENCE FOR DISCRETELY OBSERVED JUMP-DIFFUSIONS FROM FINITE SAMPLES
复制标题
有限样本离散观测跳跃扩散的实际推论
DOI：
10.14490/jjss.38.391
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发表时间：
2008
期刊：
影响因子：
--
通讯作者：
Y. Shimizu
中科院分区：
文献类型：
--
作者：
Y. Shimizu
在跳跃扩散过程的推理中，我们常常需要从数据中分别获取跳跃部分和连续部分的信息。尽管已经在这个问题上研究了一些渐近理论，但实际兴趣是从有限多个离散样本中进行推断。在本文中，我们提出了一种数值程序来构造滤波器来判断有限样本是否发生跳跃。本文讨论了该程序的有效性。
In the inference for jump-diffusion processes, we often need to get the information of the jump part and of the continuous part separately from the data. Although some asymptotic theories have been studied on this issue, a practical interest is the inference from finitely many discrete samples. In this paper we propose a numerical procedure to construct a filter to judge whether or not a jump occurred from finite samples. The paper includes a discussion about the validity of the procedure.
影响因子：
0.8
作者：
Y. Shimizu;N. Yoshida
通讯作者：
Y. Shimizu;N. Yoshida