Asymptotic lower bounds in estimating jumps
Abstract
We study the problem of the efficient estimation of the jumps for stochastic processes. We assume that the stochastic jump process is observed discretely, with a sampling step of size . In the spirit of Hajek's convolution theorem, we show some lower bounds for the estimation error of the sequence of the jumps . As an intermediate result, we prove a LAMN property, with rate , when the marks of the underlying jump component are deterministic. We deduce then a convolution theorem, with an explicit asymptotic minimal variance, in the case where the marks of the jump component are random. To prove that this lower bound is optimal, we show that a threshold estimator of the sequence of jumps based on the discrete observations, reaches the minimal variance of the previous convolution theorem.
Cite
@article{arxiv.1407.0241,
title = {Asymptotic lower bounds in estimating jumps},
author = {Emmanuelle Clément and Sylvain Delattre and Arnaud Gloter},
journal= {arXiv preprint arXiv:1407.0241},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.3150/13-BEJ515 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)