Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527219 | Stochastic Processes and their Applications | 2013 | 21 Pages |
Abstract
For n equidistant observations of a Lévy process at time distance În we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner. Asymptotically as nââ we allow for both, the high-frequency regime În=1n and the low-frequency regime În=1 as well as intermediate cases. The approach via the empirical characteristic function unifies existing theory and sheds new light on diverse results. Particular emphasis is given to asymptotic separation rates which reveal the complexity of these basic, but surprisingly non-standard inference questions.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Markus ReiÃ,