Estimation for L\'{e}vy processes from high frequency data within a long time interval

By Fabienne Comte, Valentine Genon-Catalot. 2011

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In this paper, we study nonparametric estimation of the L\'{e}vy density for L\'{e}vy processes, with and without Brownian component. For this, we consider $n$ discrete time observations with step $\Delta$. The asymptotic framework is: $n$ tends to infinity, $\Delta=\Delta_n$ tends to zero while $n\Delta_n$ tends to infinity. We use a Fourier approach to construct an adaptive nonparametric estimator of the L\'{e}vy density and to provide a bound for the global ${\mathbb{L}}^2$-risk. Estimators of the drift and of the variance of the Gaussian component are also studied. We discuss rates of convergence and give examples and simulation results for processes fitting in our framework.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c61a8ac89e2b4611e3a45b3364ea0e9b2240e4fd