A Lepski\u{i}-type stopping rule for the covariance estimation of multi-dimensional L\'evy processes

DOI10.1007/S11203-021-09264-2MaRDI QIDQ6354549arXivFDO

Authors Katerina Papagiannouli

Publication date 25 November 2020

Published in arXiv

Full work available at URL https://doi.org/10.1007/S11203-021-09264-2

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

arXiv classification

math.STstat.TH

Abstract: We suppose that a L'evy process is observed at discrete time points. Starting from an asymptotically minimax family of estimators for the continuous part of the L'evy Khinchine characteristics, i.e., the covariance, we derive a data-driven parameter choice for the frequency of estimating the covariance. We investigate a Lepskiu{i}-type stopping rule for the adaptive procedure. Consequently, we use a balancing principle for the best possible data-driven parameter. The adaptive estimator achieves almost the optimal rate. Numerical experiments with the proposed selection rule are also presented.

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