Statistical inference across time scales

DOI10.1214/11-EJS660zbMATH Open1274.62071arXiv1106.1031MaRDI QIDQ1952257FDOQ1952257

M. Hoffmann, Céline Duval

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We investigate statistical inference across time scales. We take as toy model the estimation of the intensity of a discretely observed compound Poisson process with symmetric Bernoulli jumps. We have data at different time scales: microscopic, intermediate and macroscopic. We quantify the smooth statistical transition from a microscopic Poissonian regime to a macroscopic Gaussian regime. The classical quadratic variation estimator is efficient in both microscopic and macroscopic scales but surprisingly shows a substantial loss of information in the intermediate scale that can be explicitly related to the sampling rate. We discuss the implications of these findings beyond this idealised framework.

Full work available at URL: https://arxiv.org/abs/1106.1031

zbMATH Keywords

information lossdiscretely observed random processLAN property

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Inference from stochastic processes (62M99) Theory of statistical experiments (62B15)

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Cited In (8)

• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• When is it no longer possible to estimate a compound Poisson process?
• Electricity Intraday Price Modelling with Marked Hawkes Processes
• Dispersal density estimation across scales
• Time-dependent statistical analysis of wide-area time-synchronized data
• Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise
• Inference of Trends in Time Series
• Statistical convergence of Markov experiments to diffusion limits

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