Threshold estimation for a spectrally negative Lévy process
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Summary: Consider a spectrally negative Lévy process with unknown diffusion coefficient and Lévy measure and suppose that the high frequency trading data is given. We use the techniques of threshold estimation and regularized Laplace inversion to obtain the estimator of survival probability for a spectrally negative Lévy process. The asymptotic properties are given for the proposed estimator. Simulation studies are also given to show the finite sample performance of our estimator.
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Cites work
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- scientific article; zbMATH DE number 5504866 (Why is no real title available?)
- Interval estimation of the ruin probability in the classical compound Poisson risk model
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Cited in
(6)- Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
- Threshold models for Lévy processes and approximate maximum likelihood estimation
- Threshold estimation of the Gerber-Shiu function using the Fourier-cosine method in the Wiener-Poisson risk model
- Nonparametric estimation of some dividend and ruin related functions in a Lévy risk model
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