Near-optimal estimation of jump activity in semimartingales

DOI10.1214/15-AOS1349zbMath1334.62179arXiv1409.8150OpenAlexW1565700437MaRDI QIDQ5963516

Adam D. Bull

Publication date: 22 February 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.8150

zbMATH Keywords

Lévy processsemimartingaleBlumenthal-Getoor indexinfinite variationjump activity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48) Markov processes: hypothesis testing (62M02)

Related Items (9)

Trading-flow assisted estimation of the jump activity index ⋮ Estimation of tempered stable Lévy models of infinite variation ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ Estimation of mixed fractional stable processes using high-frequency data ⋮ Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale ⋮ Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process ⋮ Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation ⋮ INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS ⋮ Nonparametric Gaussian inference for stable processes

Cites Work

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