Spectral bootstrap confidence bands for L\'evy-driven moving average processes
Statistics Theory
2022-11-15 v1 Methodology
Statistics Theory
Abstract
In this paper we study the problem of constructing bootstrap confidence intervals for the L\'evy density of the driving L\'evy process based on high-frequency observations of a L\'evy-driven moving average processes. Using a spectral estimator of the L\'evy density, we propose a novel implementations of multiplier and empirical bootstraps to construct confidence bands on a compact set away from the origin. We also provide conditions under which the confidence bands are asymptotically valid.
Keywords
Cite
@article{arxiv.2211.06592,
title = {Spectral bootstrap confidence bands for L\'evy-driven moving average processes},
author = {D. Belomestny and E. Ivanova and T. Orlova},
journal= {arXiv preprint arXiv:2211.06592},
year = {2022}
}