On a Projection Least Squares Estimator for Jump Diffusion Processes

Published 24 Oct 2022 in math.ST and stat.TH | (2210.13164v2)

Abstract: This paper deals with a projection least squares estimator of the drift function of a jump diffusion process $X$ computed from multiple independent copies of $X$ observed on $[0,T]$. Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.

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