Estimation of the activity of jumps in time-changed Levy models

被引：11

作者：

Belomestny, Denis ^{[1
]}

Panov, Vladimir ^{[1
]}

机构：

[1] Univ Duisburg Essen, D-45127 Essen, Germany

来源：

ELECTRONIC JOURNAL OF STATISTICS | 2013年 / 7卷

关键词：

Time-changed Levy processes; Abelian theorem; Blumenthal-Getoor index;

D O I：

10.1214/13-EJS870

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider a class of time-changed Levy processes that can be represented in the form Y-s = X-T(s), where X is a Levy process and 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 Levy process Y. We propose a consistent estimator for this index, derive the minimax rates of convergence and show that these rates cannot be improved in general. The performance of the estimator is illustrated by numerical examples.

引用

页码：2970 / 3003

页数：34