English

Statistical inference for time-changed L\'{e}vy processes via composite characteristic function estimation

Methodology 2012-01-31 v3 Statistics Theory Applications Statistics Theory

Abstract

In this article, the problem of semi-parametric inference on the parameters of a multidimensional L\'{e}vy process LtL_t with independent components based on the low-frequency observations of the corresponding time-changed L\'{e}vy process LT(t)L_{\mathcal{T}(t)}, where T\mathcal{T} is a nonnegative, nondecreasing real-valued process independent of LtL_t, is studied. We show that this problem is closely related to the problem of composite function estimation that has recently gotten much attention in statistical literature. Under suitable identifiability conditions, we propose a consistent estimate for the L\'{e}vy density of LtL_t and derive the uniform as well as the pointwise convergence rates of the estimate proposed. Moreover, we prove that the rates obtained are optimal in a minimax sense over suitable classes of time-changed L\'{e}vy models. Finally, we present a simulation study showing the performance of our estimation algorithm in the case of time-changed Normal Inverse Gaussian (NIG) L\'{e}vy processes.

Keywords

Cite

@article{arxiv.1003.0275,
  title  = {Statistical inference for time-changed L\'{e}vy processes via composite characteristic function estimation},
  author = {Denis Belomestny},
  journal= {arXiv preprint arXiv:1003.0275},
  year   = {2012}
}

Comments

Published in at http://dx.doi.org/10.1214/11-AOS901 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T14:52:17.267Z