Inference on the Lévy measure in case of noisy observations

We discuss inference on the Lévy measure in case of noisy observations. An extension of the pre-averaging method allows for a consistent estimation of the associated spectral function. The asymptotic behaviour of the novel estimator is the same as without noise.

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Year of publication:	2014
Authors:	Vetter, Mathias
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 87.2014, C, p. 125-133
Publisher:	Elsevier
Subject:	High frequency data \| Lévy process \| Microstructure noise \| Nonparametric statistics \| Weak convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010752960