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arXiv · 2207.09852

Threshold estimation for jump-diffusions under small noise asymptotics

Mitsuki Kobayashi·Yasutaka Shimizu
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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.

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BibTeXRIS

Mitsuki Kobayashi, Yasutaka Shimizu. 2022-07-20. Threshold estimation for jump-diffusions under small noise asymptotics. https://doi.org/10.1007/s11203-023-09286-y

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