Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations

DOI10.1016/J.SPA.2019.04.012zbMATH Open1471.60032arXiv1705.00586OpenAlexW2963228218MaRDI QIDQ2301475FDOQ2301475

Authors: Kengo Kato, Daisuke Kurisu 

Publication date: 24 February 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: This paper develops bootstrap methods to construct uniform confidence bands for nonparametric spectral estimation of L'{e}vy densities under high-frequency observations. We assume that we observe $n$ discrete observations at frequency $1/Delta>0$, and work with the high-frequency setup where $Delta=Delt{a}_{n}o0$ and $nDeltaoinfty$ as $noinfty$. We employ a spectral (or Fourier-based) estimator of the L'{e}vy density, and develop novel implementations of Gaussian multiplier (or wild) and empirical (or Efron's) bootstraps to construct confidence bands for the spectral estimator on a compact set that does not intersect the origin. We provide conditions under which the proposed confidence bands are asymptotically valid. Our confidence bands are shown to be asymptotically valid for a wide class of L'{e}vy processes. We also develop a practical method for bandwidth selection, and conduct simulation studies to investigate the finite sample performance of the proposed confidence bands.

Full work available at URL: https://arxiv.org/abs/1705.00586

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zbMATH Keywords

multiplier bootstrapspectral estimationhigh-frequency dataempirical bootstrapLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (4)

• Sieve-based confidence intervals and bands for Lévy densities
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• On the uniform convergence of deconvolution estimators from repeated measurements
• Nonparametric regression for locally stationary random fields under stochastic sampling design

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