Threshold estimation for jump-diffusions under small noise asymptotics

DOI10.1007/S11203-023-09286-YMaRDI QIDQ6166019zbMATH OpenOpenAlexFDO

Authors Mitsuki Kobayashi, Yasutaka Shimizu

Publication date 6 July 2023

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2207.09852

zbMATH Keywords

asymptotic distributiondiscrete observationssmall noise asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Jump processes on discrete state spaces (60J74)

Abstract: We consider parameter estimation of stochastic differential equations driven by a Wiener process and a compound Poisson process as small noises. The goal is to give a threshold-type quasi-likelihood estimator and show its consistency and asymptotic normality under new asymptotics. One of the novelties of the paper is that we give a new localization argument, which enables us to avoid truncation in the contrast function that has been used in earlier works and to deal with a wider class of jumps in threshold estimation than ever before.

Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 1348627 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 5681750 (Why is no real title available?)
• A practical inference for discretely observed jump-diffusions from finite samples
• Asymptotic behavior of M-estimator and related random field for diffusion process
• Contrast function estimation for the drift parameter of ergodic jump diffusion process
• Estimation for stochastic differential equations with a small diffusion coefficient
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Functional analysis, Sobolev spaces and partial differential equations
• Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
• Jump filtering and efficient drift estimation for Lévy-driven SDEs
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
• Lévy Processes and Stochastic Calculus
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• Small-diffusion asymptotics for discretely sampled stochastic differential equations
• Threshold estimation for stochastic processes with small noise
• Threshold selection in jump-discriminant filter for discretely observed jump processes
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps

Cited in

(4)

• Bias free threshold estimation for jump intensity function
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
• Threshold estimation of Markov models with jumps and interest rate modeling
• Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models

This page was built for publication: Threshold estimation for jump-diffusions under small noise asymptotics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6166019)