Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
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Publication:2316609
compound Poisson-driven Ornstein-Uhlenbeck processhigh-dimensional central limit theoremmacroscopic observationsnonparametric inferencespectral estimation
Central limit and other weak theorems (60F05) Processes with independent increments; Lévy processes (60G51) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and spectral analysis (62M15)
Abstract: This study examines a nonparametric inference on a stationary L'evy-driven Ornstein-Uhlenbeck (OU) process with a compound Poisson subordinator. We propose a new spectral estimator for the L'evy measure of the L'evy-driven OU process under macroscopic observations. We also derive, for the estimator, multivariate central limit theorems over a finite number of design points, and high-dimensional central limit theorems in the case wherein the number of design points increases with an increase in the sample size. Built on these asymptotic results, we develop methods to construct confidence bands for the L'evy measure and propose a practical method for bandwidth selection.
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Cited in
(5)- On nonparametric inference for spatial regression models under domain expanding and infill asymptotics
- Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes
- On the uniform convergence of deconvolution estimators from repeated measurements
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
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