Estimation for Lévy processes from high frequency data within a long time interval
Fabienne Comte, Valentine Genon-Catalot
The Annals of Statistics · 2011 · Volume 39 · Issue 2
Abstract
In this paper, we study nonparametric estimation of the Lévy density for Lévy processes, with and without Brownian component. For this, we consider n discrete time observations with step Δ. The asymptotic framework is: n tends to infinity, Δ=Δn tends to zero while nΔn tends to infinity. We use a Fourier approach to construct an adaptive nonparametric estimator of the Lévy 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.
Keywords
60G51, 62G05, 62M05, adaptive nonparametric estimation, High frequency data, Lévy processes, power variation, projection estimators
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