Estimation of state-dependent jump activity and drift for Markovian semimartingales

DOI10.1016/J.JSPI.2020.04.009MaRDI QIDQ2189127zbMATH OpenOpenAlexFDO

Authors Fabian Mies

Publication date 15 June 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.06351

zbMATH Keywords

drift estimationhigh-frequency asymptoticsinfinite activityinfinite variancenonparametric inference

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Transition functions, generators and resolvents (60J35) Jump processes on discrete state spaces (60J74) Nonparametric regression and quantile regression (62G08)

Abstract: The jump behavior of an infinitely active It^o semimartingale can be conveniently characterized by a jump activity index of Blumenthal-Getoor type, typically assumed to be constant in time. We study Markovian semimartingales with a non-constant, state-dependent jump activity index and a non-vanishing continuous diffusion component. A nonparametric estimator for the functional jump activity index is proposed and shown to be asymptotically normal under combined high-frequency and long-time-span asymptotics. Furthermore, we propose a nonparametric drift estimator which is robust to symmetric jumps of infinite variance and infinite variation, and which attains the same asymptotic variance as for a continuous diffusion process. Simulations demonstrate the finite sample behavior of our proposed estimators. The mathematical results are based on a novel uniform bound on the Markov generator of the jump diffusion.

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• Bias reduction estimation for drift coefficient in diffusion models with jumps

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