Parameter estimation for the drift of a time-inhomogeneous jump diffusion process
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Date
2010-09-29
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Abstract
This work deals with parameter estimation for the drift of jump diffusion processes
which are driven by a Lévy process and whose drift term is linear in the parameter.
In contrast to the commonly used maximum likelihood estimator, our proposed estimator
has the practical advantage that its calculation does not require the evaluation of the continuous
part of the sample path. In the important case of an Ornstein-Uhlenbeck-type jump
diffusion, which is a widely used model, we prove consistency of our estimator.
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Keywords
Least squares estimation, Maximum likelihood, Time-continuous sample, Time-inhomogeneous diffusion process