 Contrast function estimation for the drift parameter of ergodic jump diffusion processChiara Amorino and Arnaud Gloter Scandinavian Journal of Statistics, 2020, vol. 47, issue 2, 279-346 Abstract: In this paper, we consider an ergodic diffusion process with jumps whose drift coefficient depends on an unknown parameter. We suppose that the process is discretely observed. We introduce an estimator based on a contrast function, which is efficient without requiring any conditions on the rate at which the step discretization goes to zero, and where we allow the observed process to have nonsummable jumps. This extends earlier results where the condition on the step discretization was needed and where the process was supposed to have summable jumps. In general situations, our contrast function is not explicit and one has to resort to some approximation. In the case of a finite jump activity, we propose explicit approximations of the contrast function such that the efficient estimation of the drift parameter is feasible. This extends the results obtained by Kessler in the case of continuous processes. Date: 2020 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:47:y:2020:i:2:p:279-346 Ordering information: This journal article can be ordered from Access Statistics for this article Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association |
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