On non-parametric estimation of the Lévy kernel of Markov processes

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Publication:2447727



Abstract: We consider a recurrent Markov process which is an It^o semi-martingale. The L'evy kernel describes the law of its jumps. Based on observations X(0),X({Delta}),...,X(n{Delta}), we construct an estimator for the L'evy kernel's density. We prove its consistency (as n{Delta}->infty and {Delta}->0) and a central limit theorem. In the positive recurrent case, our estimator is asymptotically normal; in the null recurrent case, it is asymptotically mixed normal. Our estimator's rate of convergence equals the non-parametric minimax rate of smooth density estimation. The asymptotic bias and variance are analogous to those of the classical Nadaraya-Watson estimator for conditional densities. Asymptotic confidence intervals are provided.




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