Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function

DOI10.1007/S11203-020-09227-ZMaRDI QIDQ2040941zbMATHOpenAlexWikidataFDO

Authors Chiara Amorino, Arnaud Gloter

Publication date 15 July 2021

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.11602

zbMATH Keywords

ergodic propertieshigh frequency datavolatility estimationdrift estimationthresholding methodsLévy-driven SDE

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper we consider an ergodic diffusion process with jumps whose drift coefficient depends on $mu$ and volatility coefficient depends on $sigma$, two unknown parameters. We suppose that the process is discretely observed at the instants (t n i)i=0,...,n with $Delta$n = sup i=0,...,n--1 (t n i+1 -- t n i) $ightarrow$ 0. We introduce an estimator of $heta$ := ($mu$, $sigma$), based on a contrast function, which is asymptotically gaussian without requiring any conditions on the rate at which $Delta$n $ightarrow$ 0, assuming a finite jump activity. This extends earlier results where a condition on the step discretization was needed (see [13],[28]) or where only the estimation of the drift parameter was considered (see [2]). In general situations, our contrast function is not explicit and in practise one has to resort to some approximation. We propose explicit approximations of the contrast function, such that the estimation of $heta$ is feasible under the condition that n$Delta$ k n $ightarrow$ 0 where k > 0 can be arbitrarily large. This extends the results obtained by Kessler [17] in the case of continuous processes. Efficient drift estimation, efficient volatility estimation,ergodic properties, high frequency data, L{'e}vy-driven SDE, thresholding methods.

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• Parametric estimation for discretely observed stochastic processes with jumps
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• Contrast function estimation for the drift parameter of ergodic jump diffusion process

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