Estimating functions for jump–diffusions

Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate-optimality and efficiency are of particular concern. Under mild assumptions, it is shown that estimators of drift, diffusion, and jump parameters are consistent and asymptotically normal, as well as rate-optimal for the drift and jump parameters. Additional conditions are derived, which ensure rate-optimality for the diffusion parameter as well as efficiency for all parameters. The findings indicate a potentially fruitful direction for the further development of estimation for jump–diffusions.