English

Two-step estimation of ergodic L\'evy driven SDE

Statistics Theory 2016-01-12 v6 Statistics Theory

Abstract

We consider high frequency samples from ergodic L\'evy driven stochastic differential equation (SDE) with drift coefficient a(x,α)a(x,\alpha) and scale coefficient c(x,γ)c(x,\gamma) involving unknown parameters α\alpha and γ\gamma. We suppose that the L\'evy measure ν0\nu_{0}, has all order moments but is not fully specified. We will prove the joint asymptotic normality of some estimators of α\alpha, γ\gamma and a class of functional parameter φ(z)ν0(dz)\int\varphi(z)\nu_0(dz), which are constructed in a two-step manner: first, we use the Gaussian quasi-likelihood for estimation of (α,γ)(\alpha,\gamma), and then, for estimating φ(z)ν0(dz)\int\varphi(z)\nu_0(dz) we makes use of the method of moments based on the Euler-type residual with the the previously obtained quasi-likelihood estimator.

Keywords

Cite

@article{arxiv.1505.01922,
  title  = {Two-step estimation of ergodic L\'evy driven SDE},
  author = {Hiroki Masuda and Yuma Uehara},
  journal= {arXiv preprint arXiv:1505.01922},
  year   = {2016}
}
R2 v1 2026-06-22T09:30:11.165Z