Estimation of the activity of jumps for time-changed Lévy processes

dc.contributor.author	Belomestny, Denis
dc.contributor.author	Panov, Vladimir
dc.date.accessioned	2012-09-26T13:26:29Z
dc.date.available	2012-09-26T13:26:29Z
dc.date.issued	2012-09-26
dc.description.abstract	In this paper we consider a class of processes that can be represented in the form Ys = XT (s), where X is a Levy process and T is a non-negative and non-decreasing stochastic process independent of X. The aim of this work is to infer on the Blumenthal-Getoor index of the process X from low-frequency observations of the time-changed Levy process Y . We propose a consistent estimator for this index, derive the minimax rates of convergence and show that these rates can not be improved in general. The performance of the estimator is illustrated by numerical examples.	en
dc.identifier.uri	http://hdl.handle.net/2003/29646
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-10364
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;39/2012
dc.subject	Abelian theorem	en
dc.subject	Blumenthal-Getoor index	en
dc.subject	time-changed Levy processes	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Estimation of the activity of jumps for time-changed Lévy processes	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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