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Preprints, Working Papers, ... Year : 2016

Jump filtering and efficient drift estimation for lévy-driven sde's

Abstract

The problem of drift estimation for the solution $X$ of a stochastic differential equation with L\'evy-type jumps is considered under discrete high-frequency observations with a growing observation window. An efficient and asymptotically normal estimator for the drift parameter is constructed under minimal conditions on the jump behavior and the sampling scheme. In the case of a bounded jump measure density these conditions reduce to $n\Delta_n^{3-\eps}\to 0,$ where $n$ is the number of observations and $\Delta_n$ is the maximal sampling step. This result relaxes the condition $n\Delta_n^2 \to 0$ usually required for joint estimation of drift and diffusion coefficient for SDE's with jumps. The main challenge in this estimation problem stems from the appearance of the unobserved continuous part $X^c$ in the likelihood function. In order to construct the drift estimator we recover this continuous part from discrete observations. More precisely, we estimate, in a nonparametric way, stochastic integrals with respect to $X^c$. Convergence results of independent interest are proved for these nonparametric estimators. Finally, we illustrate the behavior of our drift estimator for a number of popular L\'evy--driven models from finance.
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Dates and versions

hal-01287823 , version 1 (14-03-2016)
hal-01287823 , version 2 (17-03-2016)
hal-01287823 , version 3 (24-02-2017)

Identifiers

  • HAL Id : hal-01287823 , version 3

Cite

Arnaud Gloter, Dasha Loukianova, Hilmar Mai. Jump filtering and efficient drift estimation for lévy-driven sde's. 2016. ⟨hal-01287823v3⟩
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