Nonparametric inference on Lévy measures and copulas
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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)
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 , 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 , the rate of convergence is for 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.
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Cited in
(23)- Parametric estimation of a bivariate stable Lévy process
- Pareto Lévy measures and multivariate regular variation
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- Nonparametric inference on Lévy measures and copulas
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