Statistical Skorohod embedding problem: optimality and asymptotic normality

DOI10.1016/J.SPL.2015.05.015MaRDI QIDQ491725zbMATH OpenOpenAlexFDO

Authors D. Belomestny, John Schoenmakers

Publication date 19 August 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.0873

zbMATH Keywords

Mellin transformmultiplicative deconvolutionSkorohod embedding problemvolatility density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Abstract: Given a L'evy process $L$, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time $T$ based on i.i.d. sample from $L_T.$ Our approach is based on the genuine use of the Mellin and Laplace transforms. We propose a consistent estimator for the density of $T,$ derive its convergence rates and prove their optimality. It turns out that the convergence rates heavily depend on the decay of the Mellin transform of $T.$ We also consider the application of our results to the problem of statistical inference for variance-mean mixture models and for time-changed L'evy processes.

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Cites work

• A kernel type nonparametric density estimator for decompounding
• Deconvolution problems in nonparametric statistics
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• Introduction to nonparametric estimation
• Nonparametric volatility density estimation
• Normal Variance-Mean Mixtures and z Distributions
• Regularization independent of the noise level: an analysis of quasi-optimality
• The Skorokhod embedding problem and its offspring

Cited in

(7)

• Nonparametric estimation of the mixing density using polynomials
• Estimation of stopping times for stopped self-similar random processes
• Statistical inference for time-changed Lévy processes via Mellin transform approach
• Adaptive Laguerre density estimation for mixed Poisson models
• Statistical inference for scale mixture models via Mellin transform approach
• Nonparametric density estimation from observations with multiplicative measurement errors
• Optimal Skorokhod embedding given full marginals and Azéma-Yor peacocks

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