Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
高频观测遍历 Lévy 驱动随机微分方程的高斯拟似然随机场收敛
This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a Lévy driven stochastic differential equation whose coefficients are known except for the finite-dimensional parameters to be estimated, where the diffusion coefficient may be degenerate or even null. We suppose that the process is discretely observed under the rapidly increasing experimental design with step size $h_{n}$…