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Empirical likelihood inference for the second-order jump-diffusion model

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  • Song, Yuping
  • Lin, Zhengyan

Abstract

We study the empirical likelihood inference for infinitesimal coefficients in the second-order jump-diffusion model. Under certain regular conditions, we readily verify that an adjusted empirical log-likelihood ratio asymptotically follows 32χ2(1).

Suggested Citation

  • Song, Yuping & Lin, Zhengyan, 2013. "Empirical likelihood inference for the second-order jump-diffusion model," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 184-195.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:184-195
    DOI: 10.1016/j.spl.2012.09.005
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    References listed on IDEAS

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