Nonparametric estimation for irregularly sampled Lévy processes

DOI10.1007/S11203-016-9144-2MaRDI QIDQ1744225zbMATH OpenOpenAlexFDO

Authors Johanna Kappus

Publication date 16 April 2018

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.05780

zbMATH Keywords

density estimationirregular samplingjump dynamicsLévy processesnonparametric statistical inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We consider nonparametric statistical inference for L'evy processes sampled irregularly, at low frequency. The estimation of the jump dynamics as well as the estimation of the distributional density are investigated. Non-asymptotic risk bounds are derived and the corresponding rates of convergence are discussed under global as well as local regularity assumptions. Moreover, minimax optimality is proved for the estimator of the jump measure. Some numerical examples are given to illustrate the practical performance of the estimation procedure.

Review text

The present paper proposes a new statistical methodology for Lévy processes that are sampled at low frequency where the observation times are deterministic but allowed to be irregularly spaced. The only requirement for the asymptotics is that the maximal distance between any two observation times is bounded and that the maximal observation time diverges to infinity. The paper proposes a methodology to estimate the jump dynamics under some additional assumptions, for which minimax optimality is proved. Secondly, an estimator for the distributional density is proposed, which is no longer straightforward in this situation of irregularly spaced low frequency sampling. For both estimators nonasymptotic risk bounds are obtained and the performance is evaluated by means of a simulation study.

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Cited in

(26)

• Sampling distribution for a class of estimators for nonregular linear processes
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
• Nonparametric adaptive estimation for pure jump Lévy processes
• Spectral-free estimation of Lévy densities in high-frequency regime
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• Nonparametric estimation for a class of Lévy processes
• Nonparametric estimation and testing time-homogeneity for processes with independent incre\-ments

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