Jump filtering and efficient drift estimation for Lévy-driven SDEs
Lévy 驱动随机微分方程的跳跃过滤与有效漂移估计
The problem of drift estimation for the solution $X$ of a stochastic differential equation with Lévy-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 $n\Delta_{n}^{3-\varepsilon}\rightarrow 0$,…