Threshold estimation for jump-diffusions under small noise asymptotics

DOI10.1007/S11203-023-09286-YarXiv2207.09852OpenAlexW4321611170MaRDI QIDQ6166019FDOQ6166019

Mitsuki Kobayashi, Yasutaka Shimizu

Publication date: 6 July 2023

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

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.

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)

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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

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