Nonparametric inference on Lévy measures and copulas

DOI10.1214/13-AOS1116zbMATH Open1273.62067arXiv1205.0417MaRDI QIDQ366990FDOQ366990

Mathias Vetter, Axel Bücher

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper nonparametric methods to assess the multivariate L'{e}vy measure are introduced. Starting from high-frequency observations of a L'{e}vy process $mathbfX$, we construct estimators for its tail integrals and the Pareto-L'{e}vy copula and prove weak convergence of these estimators in certain function spaces. Given n observations of increments over intervals of length $Delt{a}_n$, the rate of convergence is $k_n^{-1/2}$ for $k_n=nDelt{a}_n$ which is natural concerning inference on the L'{e}vy measure. Besides extensions to nonequidistant sampling schemes analytic properties of the Pareto-L'{e}vy copula which, to the best of our knowledge, have not been mentioned before in the literature are provided as well. We conclude with a short simulation study on the performance of our estimators and apply them to real data.

Full work available at URL: https://arxiv.org/abs/1205.0417

zbMATH Keywords

weak convergenceLévy copulaLévy processPareto-Lévy copulas

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

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Cited In (18)

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Uses Software

• QRM

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