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Asymptotic inference for jump diffusions with state-dependent intensity

Becheri,Gaia
; 
Drost,Feike C.
; 
Werker,Bas J. M.
Abstract
We establish the local asymptotic normality property for a class of ergodic parametric jump-diffusion processes with state-dependent intensity and known volatility function sampled at high frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect to parameters in the volatility function that can be consistently estimated.
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Date
2016-06-01
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Tilburg University Research Output Collection
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Keywords
jump diffusions, limit experiment, local asymptotic normality, state-dependent intensity
Citation
Becheri, G, Drost, F C & Werker, B J M 2016, 'Asymptotic inference for jump diffusions with state-dependent intensity', Scandinavian Journal of Statistics, vol. 43, no. 2, pp. 520-542. https://doi.org/10.1111/sjos.12189
URI
https://hdl.handle.net/20.500.14602/64811
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