Nonparametric estimation for L\'evy processes from low-frequency observations
Statistics Theory
2008-05-29 v2 Probability
Methodology
Statistics Theory
Abstract
We suppose that a L\'evy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent estimators of the L\'evy-Khinchine characteristics as the number of observations tends to infinity, keeping the observation distance fixed. For a specific -criterion this estimator is rate-optimal. The connection with deconvolution and inverse problems is explained. A key step in the proof is a uniform control on the deviations of the empirical characteristic function on the whole real line.
Cite
@article{arxiv.0709.2007,
title = {Nonparametric estimation for L\'evy processes from low-frequency observations},
author = {Michael H. Neumann and Markus Reiss},
journal= {arXiv preprint arXiv:0709.2007},
year = {2008}
}
Comments
24 pages, 2 figures