Nonparametric estimation and testing time-homogeneity for processes with independent increments

We consider a nonparametric estimation problem for the Lévy measure of time-inhomogeneous process with independent increments. We derive the functional asymptotic normality and efficiency, in an l[infinity]-space, of generalized Nelson-Aalen estimators. Also we propose some asymptotically distribution free tests for time-homogeneity of the Lévy measure. Our result is a fruit of the empirical process theory and the martingale theory.

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Year of publication:	2008
Authors:	Nishiyama, Yoichi
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 6, p. 1043-1055
Publisher:	Elsevier
Keywords:	Empirical process Process with independent increments Lévy process Martingale Nonparametric estimation Change point problem

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

Persistent link: https://www.econbiz.de/10008872607