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Threshold selection in jump-discriminant filter for discretely observed jump processes

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  • Yasutaka Shimizu

Abstract

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Suggested Citation

  • Yasutaka Shimizu, 2010. "Threshold selection in jump-discriminant filter for discretely observed jump processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(3), pages 355-378, August.
    • Handle: RePEc:spr:stmapp:v:19:y:2010:i:3:p:355-378
    DOI: 10.1007/s10260-010-0134-z
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    Cited by:

    1. Blanke, D. & Bosq, D., 2016. "Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 119-137.
    2. Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
    3. Yasutaka Shimizu, 2017. "Threshold Estimation for Stochastic Processes with Small Noise," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 951-988, December.
    4. Mitsuki Kobayashi & Yasutaka Shimizu, 2023. "Threshold estimation for jump-diffusions under small noise asymptotics," Statistical Inference for Stochastic Processes, Springer, vol. 26(2), pages 361-411, July.

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