Title: Threshold estimation for jump-diffusions under small noise asymptotics
Authors: Yasutaka Shimizu - Waseda University (Japan) [presenting]
Mitsuki Kobayashi - Waseda University (Japan)
Abstract: The focus is on parameter estimation of stochastic differential equations driven by a Wiener process and a compound Poisson process as small noises. The goal is to give a threshold-type quasi-likelihood estimator and show its consistency and asymptotic normality under new asymptotics. One of the novelties is that we give a new localization argument, which enables us to avoid truncation in the contrast function that has been used in earlier works and to deal with a wider class of jumps in threshold estimation than ever before.