Parametric Estimation of Lévy Processes

DOI10.1007/978-3-319-12373-8_3MaRDI QIDQ2786963zbMATH OpenOpenAlexFDO

Authors Hiroki Masuda

Publication date 24 February 2016

Published in Lévy Matters IV (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.0292

zbMATH Keywords

(locally) stable Lévy processasymptotic normalityconvergence of momentsestimating functionFisher information matrixlikelihood inferenceLévy process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Abstract: The main purpose of this chapter is to present some theoretical aspects of parametric estimation of L'evy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of explicit estimating functions are discussed. In addition to the asymptotic normality at several rates of convergence, a uniform tail-probability estimate for statistical random fields is given. As specific cases, we discuss method of moments for the stable L'evy processes in much greater detail, with briefly mentioning locally stable L'evy processes too. Also discussed is, due to its theoretical importance, a brief review of how the classical likelihood approach works or does not, beyond the fact that the likelihood function is not explicit.

Cited in

(27)

• Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
• Recovering Brownian and jump parts from high-frequency observations of a Lévy process
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process
• A note on parametric estimation of Lévy moving average processes
• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
• Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
• Estimation of the characteristics of a Lévy process
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Partial quasi-likelihood analysis
• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Estimation and Calibration of Lévy Models via Fourier Methods
• Construction of a Lévy-type process by means of the parametrix method
• Method of moment estimation in time-changed Lévy models
• Risk bounds for the non-parametric estimation of Lévy processes
• A note on the fit for the levy distribution
• Lévy matters IV. Estimation for discretely observed Lévy processes
• Estimating time-changes in noisy Lévy models
• scientific article; zbMATH DE number 7387192 (Why is no real title available?)
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
• Spectral estimation of the Lévy density in partially observed affine models
• Statistical inference for time-changed Lévy processes via composite characteristic function estimation
• Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field
• LAMN property for stable-Lévy SDEs with constant scale coefficient
• Neural networks for the Tamed-Milstein approximation of SDEs with additive symmetric jumps

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