Estimation for Lévy processes from high frequency data within a long time interval

DOI10.1214/10-AOS856zbMATH Open1215.62084arXiv1105.2424MaRDI QIDQ548536FDOQ548536

Authors: F. Comte, V. Genon-Catalot 

Publication date: 29 June 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper, we study nonparametric estimation of the L'{e}vy density for L'{e}vy processes, with and without Brownian component. For this, we consider $n$ discrete time observations with step $Delta$. The asymptotic framework is: $n$ tends to infinity, $Delta=Delt{a}_n$ tends to zero while $nDelt{a}_n$ tends to infinity. We use a Fourier approach to construct an adaptive nonparametric estimator of the L'{e}vy density and to provide a bound for the global ${mathbbL}^2$-risk. Estimators of the drift and of the variance of the Gaussian component are also studied. We discuss rates of convergence and give examples and simulation results for processes fitting in our framework.

Full work available at URL: https://arxiv.org/abs/1105.2424

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zbMATH Keywords

power variationprojection estimatorsadaptive nonparametric estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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Cited In (45)

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• Nonparametric estimation and testing time-homogeneity for processes with independent incre\-ments
• Nonparametric implied Lévy densities
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