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

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

Authors Kengo Kato, Daisuke Kurisu

Publication date 24 February 2020

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

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

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)

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.

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Cited in

(4)

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

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