Spectral estimation of the Lévy density in partially observed affine models

DOI10.1016/J.SPA.2011.02.001zbMATH Open1216.62132arXiv0907.4865OpenAlexW1974874561MaRDI QIDQ544516FDOQ544516

Authors: D. Belomestny 

Publication date: 15 June 2011

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

Abstract: The problem of estimating the L'evy density of a partially observed multidimensional affine process from low-frequency and mixed-frequency data is considered. The estimation methodology is based on the log-affine representation of the conditional characteristic function of an affine process and local linear smoothing in time. We derive almost sure uniform rates of convergence for the estimated L'evy density both in mixed-frequency and low-frequency setups and prove that these rates are optimal in the minimax sense. Finally, the performance of the estimation algorithms is illustrated in the case of the Bates stochastic volatility model.

Full work available at URL: https://arxiv.org/abs/0907.4865

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zbMATH Keywords

affine processesmixed-frequency data

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Strong limit theorems (60F15) Continuous-time Markov processes on general state spaces (60J25)

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Cited In (12)

• Nonparametric implied Lévy densities
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• Spectral estimation of the fractional order of a Lévy process
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• Estimation and Calibration of Lévy Models via Fourier Methods
• Learning Theory Estimates with Observations from General Stationary Stochastic Processes
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
• A Donsker theorem for Lévy measures
• On \(1/f\) noise
• Testing the characteristics of a Lévy process

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