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Résumé 17 :

Fast statistical inference for time-changed Levy processes
Sobart-Andre, Edmond
Fast Statistical Innovation

The problem of fast inference on the parameters of a multidimensional Levy process with independent components based on the low-frequency observations of the corresponding time-changedLevy process is studied. We show that this problem is closely related to the problem of composite function estimation that recently got much attention in statistical literature. Under suitable identifiability conditions we propose a consistent estimate for the Levy density of and derive uniform as well as pointwise convergence rates of the estimate proposed. An illustration on the chocolate cake process is also provided.