Nonparametric estimation for L\'evy processes from low-frequency observations
classification
🧮 math.ST
math.PRstat.MEstat.TH
keywords
estimatorsobservationscharacteristiccharacteristicsconnectionconsistentconstructioncontrol
read the original abstract
We suppose that a L\'evy process is observed at discrete time points. A rather general construction of minimum-distance estimators is shown to give consistent estimators of the L\'evy-Khinchine characteristics as the number of observations tends to infinity, keeping the observation distance fixed. For a specific $C^2$-criterion this estimator is rate-optimal. The connection with deconvolution and inverse problems is explained. A key step in the proof is a uniform control on the deviations of the empirical characteristic function on the whole real line.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.