Statistical inference for time-changed Lévy processes via composite characteristic function estimation

DOI10.1214/11-AOS901zbMATH Open1227.62062arXiv1003.0275MaRDI QIDQ651029FDOQ651029

Authors: D. Belomestny 

Publication date: 8 December 2011

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

Abstract: In this article, the problem of semi-parametric inference on the parameters of a multidimensional L'{e}vy process $L_t$ with independent components based on the low-frequency observations of the corresponding time-changed L'{e}vy process $L_{mathcalT(t)}$, where $mathcalT$ is a nonnegative, nondecreasing real-valued process independent of $L_t$, is studied. We show that this problem is closely related to the problem of composite function estimation that has recently gotten much attention in statistical literature. Under suitable identifiability conditions, we propose a consistent estimate for the L'{e}vy density of $L_t$ and derive the uniform as well as the pointwise convergence rates of the estimate proposed. Moreover, we prove that the rates obtained are optimal in a minimax sense over suitable classes of time-changed L'{e}vy models. Finally, we present a simulation study showing the performance of our estimation algorithm in the case of time-changed Normal Inverse Gaussian (NIG) L'{e}vy processes.

Full work available at URL: https://arxiv.org/abs/1003.0275

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zbMATH Keywords

dependencecomposite function estimationpointwise and uniform rates of convergence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09)

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Cited In (28)

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• Empirical likelihood methods based on characteristic functions with applications to Lévy processes
• Sup-norm convergence rates for Lévy density estimation
• Statistical inference for generalized Ornstein-Uhlenbeck processes
• Nonparametric implied Lévy densities
• First passage time of a Lévy degradation model with random effects
• Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
• Nonparametric evaluation of the first passage time of degradation processes
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
• Realized Laplace transforms for pure-jump semimartingales
• Modelling the bitcoin prices and media attention to bitcoin via the jump-type processes
• Estimation of the activity of jumps in time-changed Lévy models
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Statistical inference for time-changed Lévy processes via Mellin transform approach
• Central limit theorems for the non-parametric estimation of time-changed Lévy models
• Method of moment estimation in time-changed Lévy models
• A least squares estimator for Lévy-driven moving averages based on discrete time observations
• Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics
• On the class of distributions of subordinated Lévy processes and bases
• Estimation and Calibration of Lévy Models via Fourier Methods
• Parametric inference for discretely observed subordinate diffusions
• Nonparametric estimation for irregularly sampled Lévy processes
• Calibration of self-decomposable Lévy models
• Adaptive nonparametric estimation for Lévy processes observed at low frequency
• Testing and inference for fixed times of discontinuity in semimartingales
• Adaptive pointwise estimation for pure jump Lévy processes

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