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Aït-Sahalia, Yacine; Jacod, Jean

Identifying the successive Blumenthal-Getoor indices of a discretely observed process. (English) Zbl 1297.62051

Ann. Stat. 40, No. 3, 1430-1464 (2012).
Summary: This paper studies the identification of the Lévy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal-Getoor indices of jump activity, and show that the leading index can always be identified, but that higher order indices are only identifiable if they are sufficiently close to the previous one, even if the path is fully observed. This result establishes a clear boundary on which aspects of the jump measure can be identified on the basis of discrete observations, and which cannot. We then propose an estimation procedure for the identifiable indices and compare the rates of convergence of these estimators with the optimal rates in a special parametric case, which we can compute explicitly.

Cited in 14 Documents

MSC:

62F12 Asymptotic properties of parametric estimators
62M05 Markov processes: estimation; hidden Markov models
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60 Diffusion processes

Keywords:

semimartingale; Brownian motion; jumps; finite activity; infinite activity; discrete sampling; high frequency
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\textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 40, No. 3, 1430--1464 (2012; Zbl 1297.62051)
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References:

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