Asymptotic lower bounds in estimating jumps

DOI10.3150/13-BEJ515zbMATH Open1401.62136arXiv1407.0241OpenAlexW3103298909MaRDI QIDQ395992FDOQ395992

Authors: Emmanuelle Clément, Sylvain Delattre, Arnaud Gloter 

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We study the problem of the efficient estimation of the jumps for stochastic processes. We assume that the stochastic jump process $(X_t{)}_{tin[0,1]}$ is observed discretely, with a sampling step of size $1/n$. In the spirit of Hajek's convolution theorem, we show some lower bounds for the estimation error of the sequence of the jumps $(Delta{X}_{T_k}{)}_k$. As an intermediate result, we prove a LAMN property, with rate $sqrtn$, when the marks of the underlying jump component are deterministic. We deduce then a convolution theorem, with an explicit asymptotic minimal variance, in the case where the marks of the jump component are random. To prove that this lower bound is optimal, we show that a threshold estimator of the sequence of jumps $(Delta{X}_{T_k}{)}_k$ based on the discrete observations, reaches the minimal variance of the previous convolution theorem.

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

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zbMATH Keywords

high frequency dataconvolution theoremjump estimationLAMN propertyItô process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (9)

• Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process
• Time endogeneity and an optimal weight function in pre-averaging covariance estimation
• Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
• How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
• LAMN property for jump diffusion processes with discrete observations on a fixed time interval
• LAN property for a simple Lévy process
• A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
• LAN property for an ergodic diffusion with jumps

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