Statistical inference for time-changed Lévy processes via composite characteristic function estimation
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Abstract: In this article, the problem of semi-parametric inference on the parameters of a multidimensional L'{e}vy process with independent components based on the low-frequency observations of the corresponding time-changed L'{e}vy process , where is a nonnegative, nondecreasing real-valued process independent of , 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 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.
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