Open Access
2022 On the nonparametric inference of coefficients of self-exciting jump-diffusion
Chiara Amorino, Charlotte Dion-Blanc, Arnaud Gloter, Sarah Lemler
Author Affiliations +
Electron. J. Statist. 16(1): 3212-3277 (2022). DOI: 10.1214/22-EJS2019


In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a long time horizon which remained an open question until now. First, we propose to estimate the volatility coefficient. For that, we introduce a truncation function in our estimation procedure that allows us to take into account the jumps of the process and estimate the volatility function on a linear subspace of L2(A) where A is a compact interval of R. We obtain a bound for the empirical risk of the volatility estimator, ensuring its consistency, and then we study an adaptive estimator w.r.t. the regularity. Then, we define an estimator of a sum between the volatility and the jump coefficient modified with the conditional expectation of the intensity of the jumps. We also establish a bound for the empirical risk for the non-adaptive estimators of this sum, the convergence rate up to the regularity of the true function, and an oracle inequality for the final adaptive estimator.

Finally, we give a methodology to recover the jump function in some applications. We conduct a simulation study to measure our estimators’ accuracy in practice and discuss the possibility of recovering the jump function from our estimation procedure.

Funding Statement

C. Amorino gratefully acknowledges financial support of ERC Consolidator Grant 815703 “STAMFORD: Statistical Methods for High Dimensional Diffusions”.


The authors would like to thank the anonymous referees for their helpful remarks that helped to improve the first version of the paper.


Download Citation

Chiara Amorino. Charlotte Dion-Blanc. Arnaud Gloter. Sarah Lemler. "On the nonparametric inference of coefficients of self-exciting jump-diffusion." Electron. J. Statist. 16 (1) 3212 - 3277, 2022.


Received: 1 June 2021; Published: 2022
First available in Project Euclid: 16 May 2022

MathSciNet: MR4421627
zbMATH: 1493.62152
Digital Object Identifier: 10.1214/22-EJS2019

Primary: 60G55 , 62G05

Keywords: Adaptation , Hawkes process , jump diffusion , nonparametric estimation , Volatility estimation

Vol.16 • No. 1 • 2022
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