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Bootstrap confidence bands for spectral estimation of L\'evy densities under high-frequency observations. (arXiv:1705.00586v3 [math.ST] UPDATED)
来源于:arXiv
This paper develops bootstrap methods to construct uniform confidence bands
for nonparametric spectral estimation of L\'{e}vy densities under
high-frequency observations. We assume that we observe $n$ discrete
observations at frequency $1/\Delta > 0$, and work with the high-frequency
setup where $\Delta = \Delta_{n} \to 0$ and $n\Delta \to \infty$ as $n \to
\infty$. We employ a spectral (or Fourier-based) estimator of the L\'{e}vy
density, and develop novel implementations of Gaussian multiplier (or wild) and
empirical (or Efron's) bootstraps to construct confidence bands for the
spectral estimator on a compact set that does not intersect the origin. We
provide conditions under which the proposed confidence bands are asymptotically
valid. Our confidence bands are shown to be asymptotically valid for a wide
class of L\'{e}vy processes. We also develop a practical method for bandwidth
selection, and conduct simulation studies to investigate the finite sample
performance of the propose 查看全文>>