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Title:Estimation of the characteristics of a Lévy process observed at arbitrary frequency PDF Logo
Authors:Kappus, Johanna
Reiß, Markus
Issue Date:2010
Series/Report no.:SFB 649 discussion paper 2010,015
Abstract:A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.
Subjects:Lévy process
Lévy-Khinchine characteristics
Nonparametric estimation
Inverse problem
Optimal rates of convergence
JEL:G13
C14
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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