Spectral estimation of the Lévy density in partially observed affine models

Details Spectral estimation of the Lévy density in partially observed affine models Spectral estimation of the Lévy density in partially observed affine models

2009-07-28

arxiv.org/abs/0907.4865v3

Statistics

Methodology

Scientific paper

The problem of estimating the L\'evy density of a partially observed multidimensional affine process from low-frequency and mixed-frequency data is considered. The estimation methodology is based on the log-affine representation of the conditional characteristic function of an affine process and local linear smoothing in time. We derive almost sure uniform rates of convergence for the estimated L\'evy density both in mixed-frequency and low-frequency setups and prove that these rates are optimal in the minimax sense. Finally, the performance of the estimation algorithms is illustrated in the case of the Bates stochastic volatility model.

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