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2013 Estimation of the activity of jumps in time-changed Lévy models
Denis Belomestny, Vladimir Panov
Electron. J. Statist. 7: 2970-3003 (2013). DOI: 10.1214/13-EJS870

Abstract

In this paper we consider a class of time-changed Lévy processes that can be represented in the form $Y_{s}=X_{\mathcal{T}(s)}$, where $X$ is a Lévy process and $\mathcal{T}$ is a non-negative and non-decreasing stochastic process independent of $X$. The aim of this work is to infer on the Blumenthal-Getoor index of the process $X$ from low-frequency observations of the time-changed Lévy process $Y$. We propose a consistent estimator for this index, derive the minimax rates of convergence and show that these rates can not be improved in general. The performance of the estimator is illustrated by numerical examples.

Citation

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Denis Belomestny. Vladimir Panov. "Estimation of the activity of jumps in time-changed Lévy models." Electron. J. Statist. 7 2970 - 3003, 2013. https://doi.org/10.1214/13-EJS870

Information

Published: 2013
First available in Project Euclid: 13 December 2013

zbMATH: 1293.60054
MathSciNet: MR3151759
Digital Object Identifier: 10.1214/13-EJS870

Subjects:
Primary: 60G51, 62M99
Secondary: 62F12

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society

JOURNAL ARTICLE
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