Jump filtering and efficient drift estimation for Lévy-driven SDEs

DOI10.1214/17-AOS1591zbMATH Open1430.60066arXiv1603.05290OpenAlexW2962793781MaRDI QIDQ2413596FDOQ2413596

Dasha Loukianova, Arnaud Gloter, Hilmar Mai

Publication date: 14 September 2018

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

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.

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)

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Cited In (14)

• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Double-smoothed drift estimation of jump-diffusion model
• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
• Non parametric estimation of the diffusion coefficients of a diffusion with jumps
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• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
• Parameter estimation of discretely observed interacting particle systems
• Pairs trading with a mean-reverting jump–diffusion model on high-frequency data

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