Asymptotic lower bounds in estimating jumps

DOI10.3150/13-BEJ515zbMath1401.62136arXiv1407.0241OpenAlexW3103298909MaRDI QIDQ395992

Emmanuelle Clément, Sylvain Delattre, Arnaud Gloter

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.0241

zbMATH Keywords

high frequency dataconvolution theoremItô processjump estimationLAMN property

Mathematics Subject Classification ID

Related Items (7)

Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes ⋮ LAN property for an ergodic diffusion with jumps ⋮ Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ LAMN property for jump diffusion processes with discrete observations on a fixed time interval ⋮ Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation ⋮ LAN property for a simple Lévy process ⋮ Time endogeneity and an optimal weight function in pre-averaging covariance estimation

Cites Work

• Nonparametric tests for pathwise properties of semimartingales
• LAMN property for hidden processes: the case of integrated diffusions
• Estimating the degree of activity of jumps in high frequency data
• Do price and volatility jump together?
• Testing for jumps in a discretely observed process
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Limit theorems for multipower variation in the presence of jumps
• The Malliavin Calculus and Related Topics
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Asymptotic Statistics
• Nonparametric Transition-Based Tests for Jump Diffusions
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Asymptotic lower bounds in estimating jumps