Quantile estimation for Lévy measures

DOI10.1016/J.SPA.2015.04.004MaRDI QIDQ491922zbMATH OpenOpenAlexFDO

Authors Mathias Trabs

Publication date 19 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.6942

zbMATH Keywords

adaptive estimationLévy processesminimax convergence ratesnonlinear inverse problemoption prices

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Generalizing the concept of quantiles to the jump measure of a L'evy process, the generalized quantiles $q_{au}^{pm}>0$, for $au>0$, are given by the smallest values such that a jump larger than $q_{au}^{+}$ or a negative jump smaller than $-q_{au}^{-}$, respectively, is expected only once in $1/au$ time units. Nonparametric estimators of the generalized quantiles are constructed using either discrete observations of the process or using option prices in an exponential L'evy model of asset prices. In both models minimax convergence rates are shown. Applying Lepski's approach, we derive adaptive quantile estimators. The performance of the estimation method is illustrated in simulations and with real data.

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Cited in

(12)

• Spectral-free estimation of Lévy densities in high-frequency regime
• Nonparametric jump variation measures from options
• Testing and inference for fixed times of discontinuity in semimartingales
• Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
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