Asymptotic inference for jump diffusions with state-dependent intensity

Gaia Becheri, Feico Drost, Bas Werker

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We establish the local asymptotic normality property for a class of ergodic parametric jump-diffusion processes with state-dependent intensity and known volatility function sampled at high frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect to parameters in the volatility function that can be consistently estimated.
Original languageEnglish
Pages (from-to)520-542
JournalScandinavian Journal of Statistics
Volume43
Issue number2
DOIs
Publication statusPublished - 1 Jun 2016

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Asymptotic Inference
Jump Diffusion
Volatility
Local Asymptotic Normality
Jump-diffusion Process
Dependent
Jump
Class

Keywords

  • jump diffusions
  • limit experiment
  • local asymptotic normality
  • state-dependent intensity

Cite this

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abstract = "We establish the local asymptotic normality property for a class of ergodic parametric jump-diffusion processes with state-dependent intensity and known volatility function sampled at high frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect to parameters in the volatility function that can be consistently estimated.",
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Asymptotic inference for jump diffusions with state-dependent intensity. / Becheri, Gaia; Drost, Feico; Werker, Bas.

In: Scandinavian Journal of Statistics, Vol. 43, No. 2, 01.06.2016, p. 520-542.

Research output: Contribution to journalArticleScientificpeer-review

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AU - Werker, Bas

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AB - We establish the local asymptotic normality property for a class of ergodic parametric jump-diffusion processes with state-dependent intensity and known volatility function sampled at high frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect to parameters in the volatility function that can be consistently estimated.

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KW - limit experiment

KW - local asymptotic normality

KW - state-dependent intensity

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M3 - Article

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