Asymptotic inference for jump diffusions with state-dependent intensity

Gaia Becheri; Feike C. Drost; Bas J. M.  Werker

doi:10.1111/sjos.12189

Asymptotic inference for jump diffusions with state-dependent intensity

Gaia Becheri, Feike C. Drost, Bas J. M. Werker

Research output: Contribution to journal › Article › Scientific › peer-review

1 Citation (Scopus)

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 language	English
Pages (from-to)	520-542
Journal	Scandinavian Journal of Statistics
Volume	43
Issue number	2
DOIs	https://doi.org/10.1111/sjos.12189
Publication status	Published - 1 Jun 2016

Keywords

jump diffusions
limit experiment
local asymptotic normality
state-dependent intensity

Access to Document

10.1111/sjos.12189

Cite this

@article{4aeffb3ac9b641199a57c0ca416fac87,

title = "Asymptotic inference for jump diffusions with state-dependent intensity",

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.",

keywords = "jump diffusions, limit experiment, local asymptotic normality, state-dependent intensity",

author = "Gaia Becheri and Drost, {Feike C.} and Werker, {Bas J. M.}",

year = "2016",

month = jun,

day = "1",

doi = "10.1111/sjos.12189",

language = "English",

volume = "43",

pages = "520--542",

journal = "Scandinavian Journal of Statistics",

issn = "0303-6898",

publisher = "Wiley-Blackwell Publishing Ltd",

number = "2",

}

TY - JOUR

T1 - Asymptotic inference for jump diffusions with state-dependent intensity

AU - Becheri, Gaia

AU - Drost, Feike C.

AU - Werker, Bas J. M.

PY - 2016/6/1

Y1 - 2016/6/1

N2 - 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.

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.

KW - jump diffusions

KW - limit experiment

KW - local asymptotic normality

KW - state-dependent intensity

U2 - 10.1111/sjos.12189

DO - 10.1111/sjos.12189

M3 - Article

SN - 0303-6898

VL - 43

SP - 520

EP - 542

JO - Scandinavian Journal of Statistics

JF - Scandinavian Journal of Statistics

IS - 2

ER -

Asymptotic inference for jump diffusions with state-dependent intensity

Abstract

Keywords

Access to Document

Fingerprint

Cite this