Threshold estimation for jump-diffusions under small noise asymptotics

DOI10.1007/s11203-023-09286-yarXiv2207.09852OpenAlexW4321611170MaRDI QIDQ6166019

Publication date: 6 July 2023

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.09852

zbMATH Keywords

asymptotic distribution discrete observations small noise asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Jump processes on discrete state spaces (60J74)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Threshold selection in jump-discriminant filter for discretely observed jump processes
Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
Least squares estimators for stochastic differential equations driven by small Lévy noises
Quasi-likelihood analysis for the stochastic differential equation with jumps
Asymptotic behavior of M-estimator and related random field for diffusion process
\(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
Estimation of parameters for diffusion processes with jumps from discrete observations
Estimation for stochastic differential equations with a small diffusion coefficient
Functional analysis, Sobolev spaces and partial differential equations
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
Small-diffusion asymptotics for discretely sampled stochastic differential equations
Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
Least-squares estimators based on the Adams method for stochastic differential equations with small Lévy noise
Jump filtering and efficient drift estimation for Lévy-driven SDEs
A Practical Inference for Discretely Observed Jump-diffusions from Finite Samples
Lévy Processes and Stochastic Calculus
Threshold Estimation for Stochastic Processes with Small Noise
Contrast function estimation for the drift parameter of ergodic jump diffusion process

This page was built for publication: Threshold estimation for jump-diffusions under small noise asymptotics