Statistical inference for time-changed Lévy processes via composite characteristic function estimation

By Denis Belomestny. 2010

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In this article, the problem of semi-parametric inference on the parameters of a multidimensional L\'{e}vy process $L_t$ with independent components based on the low-frequency observations of the corresponding time-changed L\'{e}vy process $L_{\mathcal{T}(t)}$, where $\mathcal{T}$ is a nonnegative, nondecreasing real-valued process independent of $L_t$, is studied. We show that this problem is closely related to the problem of composite function estimation that has recently gotten much attention in statistical literature. Under suitable identifiability conditions, we propose a consistent estimate for the L\'{e}vy density of $L_t$ and derive the uniform as well as the pointwise convergence rates of the estimate proposed. Moreover, we prove that the rates obtained are optimal in a minimax sense over suitable classes of time-changed L\'{e}vy models. Finally, we present a simulation study showing the performance of our estimation algorithm in the case of time-changed Normal Inverse Gaussian (NIG) L\'{e}vy processes.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2ac74a87daaa1efa75354727ad9ce41fd301d709