Optimal estimation of some random quantities of a L\'evy process
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Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)
Abstract: In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L'evy process. More specifically, we investigate the asymptotic theory for the conditional mean and conditional median estimators of the supremum/infimum of a linear Brownian motion and a stable L'evy process. Another contribution of our article is the conditional mean estimation of the local time and the occupation time measure of a linear Brownian motion. We demonstrate that the new estimators are considerably more efficient compared to the classical estimators. Furthermore, we discuss pre-estimation of the parameters of the underlying models, which is required for practical implementation of the proposed statistics.
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