Proposes and proves consistency plus rates for a two-stage estimator that first fits continuous parameters via truncated quasi-likelihood on small increments then estimates Lévy densities via kernel smoothing on regime-sorted large residuals.
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Two-stage semiparametric inference for regime-switching jump diffusions with unknown L\'evy densities
Proposes and proves consistency plus rates for a two-stage estimator that first fits continuous parameters via truncated quasi-likelihood on small increments then estimates Lévy densities via kernel smoothing on regime-sorted large residuals.