Functional estimation for Lévy measures of semimartingales with Poissonian jumps

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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.

AMS subject classifications

primary
62M09
secondary
62G20
62G07

Keywords

Semimartingales with jumps
Lévy measure
Functional estimation
Discrete observations
Asymptotic efficiency

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