Jump filtering and efficient drift estimation for Lévy-driven SDEs

DOI10.1214/17-AOS1591MaRDI QIDQ2413596zbMATH OpenOpenAlexFDO

Authors Arnaud Gloter, Dasha Loukianova, Hilmar Mai

Publication date 14 September 2018

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.05290

zbMATH Keywords

maximum likelihood estimationergodic propertieshigh frequency dataefficient drift estimationLévy-driven SDE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Jump processes on discrete state spaces (60J74)

Abstract: The problem of drift estimation for the solution $X$ of a stochastic differential equation with L'evy-type jumps is considered under discrete high-frequency observations with a growing observation window. An efficient and asymptotically normal estimator for the drift parameter is constructed under minimal conditions on the jump behavior and the sampling scheme. In the case of a bounded jump measure density these conditions reduce to $nDelt{a}_n^{3-epsilon}o0,$ where $n$ is the number of observations and $Delt{a}_n$ is the maximal sampling step. This result relaxes the condition $nDelt{a}_n^{2}o0$ usually required for joint estimation of drift and diffusion coefficient for SDE's with jumps. The main challenge in this estimation problem stems from the appearance of the unobserved continuous part $X^c$ in the likelihood function. In order to construct the drift estimator we recover this continuous part from discrete observations. More precisely, we estimate, in a nonparametric way, stochastic integrals with respect to $X^c$. Convergence results of independent interest are proved for these nonparametric estimators. Finally, we illustrate the behavior of our drift estimator for a number of popular L'evy-driven models from finance.

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Cited in

(18)

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