Functional estimation for Lévy measures of semimartingales with Poissonian jumps

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

We consider semimartingales with jumps that have finite Lévy measures. The purpose of this article is to estimate integral-type functionals of the Lévy measures from discrete observations. We propose two types of estimators: kernel-type and empirical-type estimators, both of which are obtained by direct discretization from asymptotically efficient estimators of the target based on continuous observations. We show the asymptotic efficiency in the asymptotic minimax sense of our estimators as the sample size tends to infinity and the sampling interval tends to zero.

Original languageEnglish
Pages (from-to)1073-1092
Number of pages20
JournalJournal of Multivariate Analysis
Volume100
Issue number6
DOIs
Publication statusPublished - 2009 Jul
Externally publishedYes

Fingerprint

Functional Estimation
Semimartingale
Jump
Tend
Discrete Observations
Sampling
Estimator
Efficient Estimator
Asymptotic Efficiency
Kernel Estimator
Minimax
Sample Size
Discretization
Infinity
Target
Interval
Zero
Estimate

Keywords

  • 62G07
  • 62G20
  • 62M09
  • Asymptotic efficiency
  • Discrete observations
  • Functional estimation
  • Lévy measure
  • primary
  • secondary
  • Semimartingales with jumps

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Numerical Analysis
  • Statistics and Probability

Cite this

Functional estimation for Lévy measures of semimartingales with Poissonian jumps. / Shimizu, Yasutaka.

In: Journal of Multivariate Analysis, Vol. 100, No. 6, 07.2009, p. 1073-1092.

Research output: Contribution to journalArticle

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