Parametric estimation for discretely observed stochastic processes with jumps

Abstract

We consider a two dimensional stochastic process (X,Y), which may have jump components and is not necessarily ergodic. There is an unknown parameter θ within the coefficients of (X,Y). The aim of this paper is to estimate θ from a regularly spaced sample of the process (X,Y). When the dynamic of X is known, an estimator is constructed by using a moment-based method. We show that our estimators will work if the Blumenthal-Getoor index of the jump part of Y is less than 2. What is perhaps the most interesting is the rate at which the estimators converge: it is $1/{\\sqrt{n}}$ (as when the underlying processes are not contaminated by jumps) when that index is not greater than 1. When the dynamic of X is unknown, we introduce a spot volatility estimator-based approach to estimate θ. This approach can work even if the sample is contaminated by microstructure noise.