Abstract
In this paper, we consider the empirical likelihood inference for the jump-diffusion model. We construct the confidence intervals based on the empirical likelihood for the infinitesimal moments in the jump-diffusion models. They are better than the confidence intervals which are based on the asymptotic normality of point estimates.
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Lin, Z., Wang, H. Empirical likelihood inference for diffusion processes with jumps. Sci. China Math. 53, 1805–1816 (2010). https://doi.org/10.1007/s11425-010-4027-2
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DOI: https://doi.org/10.1007/s11425-010-4027-2