Sieve-based confidence intervals and bands for Lévy densities

DOI10.3150/10-BEJ286MaRDI QIDQ453294zbMATH OpenFDO

Authors José E. Figueroa-López

Publication date 19 September 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.4389, https://projecteuclid.org/euclid.bj/1302009241

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)

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 $n$.

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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
• Nonparametric inference for discretely sampled Lévy processes
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
• 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

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