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Activity Number:
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627
- Advances in Stochastics and Distribution Theory
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Type:
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Contributed
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Date/Time:
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Thursday, August 2, 2018 : 8:30 AM to 10:20 AM
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Sponsor:
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IMS
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Abstract #328895
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Title:
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Efficient Estimation for Jump-Diffusions
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Author(s):
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Nina Munkholt Jakobsen* and Michael Sørensen
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Companies:
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Technical University of Denmark and University of Copenhagen
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Keywords:
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approximate martingale estimating function;
asymptotic theory;
rate-optimality;
efficiency;
SDE with jumps;
thresholding
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Abstract:
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The overall topic of this work is parametric estimation for jump-diffusion processes. We assume that the processes are sampled at increasing frequency, with terminal sampling time going to infinity. We present estimators based on approximate martingale estimating functions, and discuss their asymptotic properties. Our focus lies on establishing conditions which ensure that these estimators are rate-optimal and efficient.
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Authors who are presenting talks have a * after their name.
