Threshold estimation for a spectrally negative Lévy process (Q2193334)
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scientific article; zbMATH DE number 7239132
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| English | Threshold estimation for a spectrally negative Lévy process |
scientific article; zbMATH DE number 7239132 |
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Threshold estimation for a spectrally negative Lévy process (English)
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25 August 2020
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Summary: Consider a spectrally negative Lévy process with unknown diffusion coefficient and Lévy measure and suppose that the high frequency trading data is given. We use the techniques of threshold estimation and regularized Laplace inversion to obtain the estimator of survival probability for a spectrally negative Lévy process. The asymptotic properties are given for the proposed estimator. Simulation studies are also given to show the finite sample performance of our estimator.
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