Threshold estimation for jump-diffusions under small noise asymptotics
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We consider 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 of the paper 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.
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