English

Quantile estimation for L\'evy measures

Statistics Theory 2015-06-19 v2 Probability Statistics Theory

Abstract

Generalizing the concept of quantiles to the jump measure of a L\'evy process, the generalized quantiles qτ±>0q_{\tau}^{\pm}>0, for τ>0\tau>0, are given by the smallest values such that a jump larger than qτ+q_{\tau}^{+} or a negative jump smaller than qτ-q_{\tau}^{-}, respectively, is expected only once in 1/τ1/\tau time units. Nonparametric estimators of the generalized quantiles are constructed using either discrete observations of the process or using option prices in an exponential L\'evy model of asset prices. In both models minimax convergence rates are shown. Applying Lepski's approach, we derive adaptive quantile estimators. The performance of the estimation method is illustrated in simulations and with real data.

Keywords

Cite

@article{arxiv.1405.6942,
  title  = {Quantile estimation for L\'evy measures},
  author = {Mathias Trabs},
  journal= {arXiv preprint arXiv:1405.6942},
  year   = {2015}
}

Comments

38 pages, 1 figure

R2 v1 2026-06-22T04:24:17.849Z