Asymptotic Inference for Jump Diffusions with State-Dependent Intensity
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由 I. Gaia Becheri, Feike C. Drost, Bas J.M. Werker[url=][/url] 通过 Scandinavian Journal of Statistics[url=][/url]




AbstractWe 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.