The -approximation of occupation and local times of a symmetric α-stable Lévy process from high frequency discrete time observations is studied. The standard Riemann sum estimators are shown to be asymptotically efficient when , but only rate optimal for . For this, the exact convergence of the -approximation error is proven with explicit constants.
"Optimal -approximation of occupation and local times for symmetric stable processes." Electron. J. Statist. 16 (1) 2859 - 2883, 2022. https://doi.org/10.1214/22-EJS2013