Sieve-based confidence intervals and bands for Lévy densities

DOI10.3150/10-BEJ286zbMATH Open1345.62061arXiv1104.4389MaRDI QIDQ453294FDOQ453294

Authors: José E. Figueroa-López 

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: The estimation of the L'{e}vy density, the infinite-dimensional parameter controlling the jump dynamics of a L'{e}vy process, is considered here under a discrete-sampling scheme. In this setting, the jumps are latent variables, the statistical properties of which can be assessed when the frequency and time horizon of observations increase to infinity at suitable rates. Nonparametric estimators for the L'{e}vy density based on Grenander's method of sieves was proposed in Figueroa-L'{o}pez [IMS Lecture Notes 57 (2009) 117--146]. In this paper, central limit theorems for these sieve estimators, both pointwise and uniform on an interval away from the origin, are obtained, leading to pointwise confidence intervals and bands for the L'{e}vy density. In the pointwise case, our estimators converge to the L'{e}vy density at a rate that is arbitrarily close to the rate of the minimax risk of estimation on smooth L'{e}vy densities. In the case of uniform bands and discrete regular sampling, our results are consistent with the case of density estimation, achieving a rate of order arbitrarily close to $lo{g}^{-1/2}(n)cdot{n}^{-1/3}$, where $n$ is the number of observations. The convergence rates are valid, provided that $s$ is smooth enough and that the time horizon $T_n$ and the dimension of the sieve are appropriately chosen in terms of $n$.

Full work available at URL: https://arxiv.org/abs/1104.4389

Recommendations

• Nonparametric estimation for Lévy models based on discrete-sampling
• Nonparametric inference for discretely sampled Lévy processes
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• Nonparametric estimation for irregularly sampled Lévy processes
• Nonparametric estimation for pure jump Lévy processes based on high frequency data

zbMATH Keywords

nonparametric estimationconfidence intervalsconfidence bandssieve estimatorsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Central limit and other weak theorems (60F05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• On some global measures of the deviations of density function estimates
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Title not available (Why is that?)
• Risk bounds for model selection via penalization
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Small-time expansions for the transition distributions of Lévy processes
• Expansion of transition distributions of Lévy processes in small time
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Effect of bias estimation on coverage accuracy of bootstrap confidence intervals for a probability density
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Title not available (Why is that?)
• Fitting the variance-gamma model to financial data
• Risk bounds for the non-parametric estimation of Lévy processes
• Nonparametric estimation for Lévy models based on discrete-sampling
• Title not available (Why is that?)
• An asymptotic representation of the sample distribution function

Cited In (18)

• Sup-norm convergence rates for Lévy density estimation
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• High-frequency Donsker theorems for Lévy measures
• On non-parametric estimation of the Lévy kernel of Markov processes
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• Spectral-free estimation of Lévy densities in high-frequency regime
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
• Nonparametric inference for discretely sampled Lévy processes
• Central limit theorems for the non-parametric estimation of time-changed Lévy models
• A least squares estimator for Lévy-driven moving averages based on discrete time observations
• Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
• Estimation and Calibration of Lévy Models via Fourier Methods
• Confidence sets in nonparametric calibration of exponential Lévy models
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Testing the characteristics of a Lévy process
• Deep variance gamma processes
• Adaptive pointwise estimation for pure jump Lévy processes

This page was built for publication: Sieve-based confidence intervals and bands for Lévy densities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q453294)