English

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 C2C^2-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.

Keywords

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

R2 v1 2026-06-21T09:17:03.554Z