Spectral estimation of the Lévy density in partially observed affine models
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Publication:544516
DOI10.1016/J.SPA.2011.02.001zbMATH Open1216.62132OpenAlexW1974874561MaRDI QIDQ544516FDOQ544516
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.
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Cited in
(12)- Spectral estimation of the fractional order of a Lévy process
- Testing the characteristics of a Lévy process
- Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
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