Statistical inference across time scales

DOI10.1214/11-EJS660MaRDI QIDQ1952257zbMATH OpenFDO

Authors Céline Duval, M. Hoffmann

Publication date 28 May 2013

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

Full work available at URL https://arxiv.org/abs/1106.1031, https://projecteuclid.org/euclid.ejs/1325264855

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)

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.

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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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