Author： Hanif Muhammad
Publisher： Taylor & Francis Ltd
ISSN： 0361-0926
Source： Communications in Statistics: Theory and Methods, Vol.41, Iss.22, 2012-11, pp. : 4142-4163
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Abstract
In this article, we provide a nonparametric estimation of first and second infinitesimal moments of the underlying jump diffusion model. We show that under certain regularity conditions the nonparametric estimations of first and second infinitesimal moments based on the local linear estimator are consistent and asymptotically follow normal distributions.
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