Identifying the successive Blumenthal-Getoor indices of a discretely observed process

DOI10.1214/12-AOS976zbMATH Open1297.62051arXiv1209.5170OpenAlexW3102284011MaRDI QIDQ693731FDOQ693731

Authors: Yacine Aït-Sahalia, Jean Jacod 

Publication date: 10 December 2012

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

Abstract: This paper studies the identification of the L'{e}vy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal-Getoor indices of jump activity, and show that the leading index can always be identified, but that higher order indices are only identifiable if they are sufficiently close to the previous one, even if the path is fully observed. This result establishes a clear boundary on which aspects of the jump measure can be identified on the basis of discrete observations, and which cannot. We then propose an estimation procedure for the identifiable indices and compare the rates of convergence of these estimators with the optimal rates in a special parametric case, which we can compute explicitly.

Full work available at URL: https://arxiv.org/abs/1209.5170

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zbMATH Keywords

jumpsBrownian motionsemimartingalediscrete samplinghigh frequencyinfinite activityfinite activity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (15)

• Identifying the successive Blumenthal-Getoor indices of a discretely observed process
• Near-optimal estimation of jump activity in semimartingales
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• Estimation of the activity of jumps in time-changed Lévy models
• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
• Convergence of extreme values of Poisson point processes at small times
• Estimation of mixed fractional stable processes using high-frequency data
• Estimation and Calibration of Lévy Models via Fourier Methods
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Testing for jump spillovers without testing for jumps
• Extensions of regularity for a Lévy process
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Testing for self-excitation in jumps
• Testing the characteristics of a Lévy process
• Characterizing financial crises using high-frequency data

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