Contrast function estimation for the drift parameter of ergodic jump diffusion process

DOI10.1111/SJOS.12406zbMATH Open1450.62108arXiv1807.08965OpenAlexW2884941035WikidataQ114078101 ScholiaQ114078101MaRDI QIDQ5118460FDOQ5118460

Arnaud Gloter, Chiara Amorino

Publication date: 8 September 2020

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: In this paper we consider an ergodic diffusion process with jumps whose drift coefficient depends on an unknown parameter $heta$. 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 $heta$, based on a contrast function, which is efficient without requiring any conditions on the rate at which $Delta$n $ightarrow$ 0, and where we allow the observed process to have non summable jumps. This extends earlier results where the condition n$Delta$ 3 n $ightarrow$ 0 was needed (see [10],[24]) and where the process was supposed to have summable jumps. Moreover, in the case of a finite jump activity, we propose explicit approximations of the contrast function, such that the efficient 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 [15] in the case of continuous processes. L{'e}vy-driven SDE, efficient drift estimation, high frequency data, ergodic properties, thresholding methods.

Full work available at URL: https://arxiv.org/abs/1807.08965

zbMATH Keywords

ergodic propertieshigh-frequency datathresholding methodsefficient drift estimationLévy-driven SDE

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60)

Cited In (11)

• Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
• Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
• Threshold estimation for jump-diffusions under small noise asymptotics
• On the nonparametric inference of coefficients of self-exciting jump-diffusion
• Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Parameter estimation of discretely observed interacting particle systems
• LAMN property for jump diffusion processes with discrete observations on a fixed time interval
• Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
• Inference for ergodic McKean-Vlasov stochastic differential equations with polynomial interactions

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