Debiased parametric inference for regime-switching jump diffusions with infinite variation jumps

2026-10-21来源 arXiv stat.THEnglish

arXiv:2606.31057v3 Announce Type: replace Abstract: We study high-frequency inference for an ergodic regime-switching jump diffusion with locally stable infinite-variation jumps. The state and the finite-state regime are observed on the same grid. The mesh satisfies \(h_n\to0\), while the horizon satisfies \(T_n=nh_n\to\infty\). We estimate structural drift and diffusion parameters in the presence of unknown regime-specific L\'evy measures. For a common activity index \(1

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Debiased parametric inference for regime-switching jump diffusions with infinite variation jumps

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