SOME REMARKS ON ESTIMATION OF DIFFUSION COEFFICIENTS FOR JUMP-DIFFUSIONS FROM FINITE SAMPLES

摘要

Diffusion coefficients of jump-diffusion processes with finite Levy measure are estimated from discrete observations at points (t{sub}i){sup}n = i (i = 0,1,...,n) using filtered conditional moments of increments. The estimation is based on the local time for jump-diffusions and the consistency result is obtained. This is an extension of the result for pure diffusion cases by Florens-Zmirou (1993).