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- W2946927078 abstract "This paper develops estimators of the transition density, filters, and parameters of multivariate jump-diffusions with latent components. The drift, volatility, jump intensity, and jump magnitude are allowed to be general functions of the state. Our density and filter estimators converge at the canonical square-root rate, implying computational efficiency. Our parameter estimators have the same asymptotic properties as true maximum likelihood estimators, implying statistical efficiency. Numerical experiments highlight the superior performance of our estimators." @default.
- W2946927078 created "2019-06-07" @default.
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- W2946927078 date "2017-01-01" @default.
- W2946927078 modified "2023-10-16" @default.
- W2946927078 title "Efficient Parameter Estimation for Multivariate Jump-Diffusions" @default.
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- W2946927078 doi "https://doi.org/10.2139/ssrn.3020176" @default.
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