Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process

2019/04/17 by Dion, Charlotte, Lemler, Sarah
#Applications (stat.AP) #FOS: Computer and information sciences #FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1904.08232

Abstract

We consider a 1-dimensional diffusion process X with jumps. The particularity of this model relies in the jumps which are driven by a multidimensional Hawkes process denoted N. This article is dedicated to the study of a nonparametric estimator of the drift coefficient of this original process. We construct estimators based on discrete observations of the process X in a high frequency framework with a large horizon time and on the observations of the process N. The proposed nonparametric estimator is built from a least squares contrast procedure on subspace spanned by trigonometric basis vectors. We obtain adaptive results that are comparable with the one obtained in the nonparametric regression context. We finally conduct a simulation study in which we first focus on the implementation of the process and then on showing the good behavior of the estimator.

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