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Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes
Djouadi, Seddik M.; Maroulas, Vasileios; Pan, Xiaoyang; Xiong, Jie
2017-04
Source PublicationSTATISTICS & PROBABILITY LETTERS
ABS Journal Level2
ISSN0167-7152
Volume123Pages:8-16
AbstractA least-squares estimator of the intensity of a Poisson process is studied for a partially observed stochastic system, where the signal evolves as a jump diffusion process and the observation is a diffusion process. Precisely, we establish the consistency and a central limit theorem of the least-squares estimator when a negative drift coefficient for the jump diffusion process is considered. We also demonstrate that the variance and the fourth moment of the estimator are bounded but inconsistent when the drift coefficient of the jump diffusion is positive or data is collected within a fixed time horizon. (C) 2016 Elsevier B.V. All rights reserved.
KeywordConsistency Asymptotic normality Jump diffusions Least-squares estimator Poisson processes Partially observed system
DOI10.1016/j.spl.2016.11.017
URLView the original
Indexed BySCI
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000393266200002
PublisherELSEVIER SCIENCE BV
The Source to ArticleWOS
Fulltext Access
Citation statistics
Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Recommended Citation
GB/T 7714
Djouadi, Seddik M.,Maroulas, Vasileios,Pan, Xiaoyang,et al. Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes[J]. STATISTICS & PROBABILITY LETTERS,2017,123:8-16.
APA Djouadi, Seddik M.,Maroulas, Vasileios,Pan, Xiaoyang,&Xiong, Jie.(2017).Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes.STATISTICS & PROBABILITY LETTERS,123,8-16.
MLA Djouadi, Seddik M.,et al."Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes".STATISTICS & PROBABILITY LETTERS 123(2017):8-16.
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