Estimating functions for jump–diffusions

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

Estimating functions for jump–diffusions. / Jakobsen, Nina Munkholt; Sørensen, Michael.

I: Stochastic Processes and Their Applications, Bind 129, 2019, s. 3282–3318.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Jakobsen, NM & Sørensen, M 2019, 'Estimating functions for jump–diffusions', Stochastic Processes and Their Applications, bind 129, s. 3282–3318. https://doi.org/10.1016/j.spa.2018.09.006

APA

Jakobsen, N. M., & Sørensen, M. (2019). Estimating functions for jump–diffusions. Stochastic Processes and Their Applications, 129, 3282–3318. https://doi.org/10.1016/j.spa.2018.09.006

Vancouver

Jakobsen NM, Sørensen M. Estimating functions for jump–diffusions. Stochastic Processes and Their Applications. 2019;129:3282–3318. https://doi.org/10.1016/j.spa.2018.09.006

Author

Jakobsen, Nina Munkholt ; Sørensen, Michael. / Estimating functions for jump–diffusions. I: Stochastic Processes and Their Applications. 2019 ; Bind 129. s. 3282–3318.

Bibtex

@article{ef0ef3e4ce894b2d8f5965e0b69439ea,
title = "Estimating functions for jump–diffusions",
abstract = "Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate-optimality and efficiency are of particular concern. Under mild assumptions, it is shown that estimators of drift, diffusion, and jump parameters are consistent and asymptotically normal, as well as rate-optimal for the drift and jump parameters. Additional conditions are derived, which ensure rate-optimality for the diffusion parameter as well as efficiency for all parameters. The findings indicate a potentially fruitful direction for the further development of estimation for jump–diffusions.",
keywords = "Approximate martingale estimating function, Diffusion with jumps, Discrete-time sampling, Efficiency, Optimal rate, Stochastic differential equation",
author = "Jakobsen, {Nina Munkholt} and Michael S{\o}rensen",
year = "2019",
doi = "10.1016/j.spa.2018.09.006",
language = "English",
volume = "129",
pages = "3282–3318",
journal = "Stochastic Processes and their Applications",
issn = "0304-4149",
publisher = "Elsevier BV * North-Holland",

}

RIS

TY - JOUR

T1 - Estimating functions for jump–diffusions

AU - Jakobsen, Nina Munkholt

AU - Sørensen, Michael

PY - 2019

Y1 - 2019

N2 - Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate-optimality and efficiency are of particular concern. Under mild assumptions, it is shown that estimators of drift, diffusion, and jump parameters are consistent and asymptotically normal, as well as rate-optimal for the drift and jump parameters. Additional conditions are derived, which ensure rate-optimality for the diffusion parameter as well as efficiency for all parameters. The findings indicate a potentially fruitful direction for the further development of estimation for jump–diffusions.

AB - Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate-optimality and efficiency are of particular concern. Under mild assumptions, it is shown that estimators of drift, diffusion, and jump parameters are consistent and asymptotically normal, as well as rate-optimal for the drift and jump parameters. Additional conditions are derived, which ensure rate-optimality for the diffusion parameter as well as efficiency for all parameters. The findings indicate a potentially fruitful direction for the further development of estimation for jump–diffusions.

KW - Approximate martingale estimating function

KW - Diffusion with jumps

KW - Discrete-time sampling

KW - Efficiency

KW - Optimal rate

KW - Stochastic differential equation

UR - http://www.scopus.com/inward/record.url?scp=85054083179&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2018.09.006

DO - 10.1016/j.spa.2018.09.006

M3 - Journal article

AN - SCOPUS:85054083179

VL - 129

SP - 3282

EP - 3318

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

ER -

ID: 203665203