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Non-parametric adaptive estimation of the drift for a jump diffusion process

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  • Schmisser, Émeline

Abstract

In this article, we consider a jump diffusion process (Xt)t≥0 observed at discrete times t=0,Δ,…,nΔ. The sampling interval Δ tends to 0 and nΔ tends to infinity. We assume that (Xt)t≥0 is ergodic, strictly stationary and exponentially β-mixing. We use a penalised least-square approach to compute two adaptive estimators of the drift function b. We provide bounds for the risks of the two estimators.

Suggested Citation

  • Schmisser, Émeline, 2014. "Non-parametric adaptive estimation of the drift for a jump diffusion process," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 883-914.
    • Handle: RePEc:eee:spapps:v:124:y:2014:i:1:p:883-914
    DOI: 10.1016/j.spa.2013.09.012
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    References listed on IDEAS

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    1. Mancini, Cecilia & Renò, Roberto, 2011. "Threshold estimation of Markov models with jumps and interest rate modeling," Journal of Econometrics, Elsevier, vol. 160(1), pages 77-92, January.
    2. Hoffmann, Marc, 1999. "Adaptive estimation in diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 135-163, January.
    3. Yasutaka Shimizu & Nakahiro Yoshida, 2006. "Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations," Statistical Inference for Stochastic Processes, Springer, vol. 9(3), pages 227-277, October.
    4. Ishikawa, Yasushi & Kunita, Hiroshi, 2006. "Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1743-1769, December.
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    Cited by:

    1. Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
    2. Uehara, Yuma, 2019. "Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4051-4081.
    3. Park, Joon Y. & Wang, Bin, 2021. "Nonparametric estimation of jump diffusion models," Journal of Econometrics, Elsevier, vol. 222(1), pages 688-715.
    4. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
    5. Fabian Mies & Ansgar Steland, 2019. "Nonparametric Gaussian inference for stable processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 525-555, October.
    6. Wooyong Lee & Priscilla E. Greenwood & Nancy Heckman & Wolfgang Wefelmeyer, 2017. "Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise," Statistical Inference for Stochastic Processes, Springer, vol. 20(2), pages 237-252, July.

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