Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale

DOI10.1016/J.SPA.2016.08.009zbMATH Open1364.60042arXiv1506.07404OpenAlexW1640418422MaRDI QIDQ529427FDOQ529427

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 18 May 2017

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

Abstract: Given an It=o semimartingale with a time-homogeneous jump part observed at high frequency, we prove weak convergence of a normalized truncated empirical distribution function of the L'evy measure to a Gaussian process. In contrast to competing procedures, our estimator works for processes with a non-vanishing diffusion component and under simple assumptions on the jump process.

Full work available at URL: https://arxiv.org/abs/1506.07404

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zbMATH Keywords

empirical distribution functionGaussian processweak convergencehigh-frequency statisticsLévy measureItō semimartingale

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Generalizations of martingales (60G48)

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Cited In (8)

• Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process
• High-frequency Donsker theorems for Lévy measures
• 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
• Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
• Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve

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