13-18 mai 2018 Saint Pierre d'Oléron (France)
Estimation of the index parameter for a stochastic differential equation driven by stable Lévy process
Huong Nguyen  1@  
1 : Le Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA)
Université Paris-Est Marne-la-Vallée (UPEMLV)

Estimation of the jump activity index from high frequency observations has received a lot of attention in recent years since the jump activity index can be used for different purposes, especially in financial field. The work focuses on the estimation of the Blumenthal-Getoor index of a stochastic differential equation driven by a truncated stable process with index in (0,2) based on high frequency observations on a fixed time period. We construct estimators of the index based on the two moment-fitting procedures (the logarithmic moments and the lower-order fractional moments). We derive consistency and asymptotic normality for the estimators of the index parameter. Finally we give some simulations to illustrate the finite-sample behaviors of our estimators.


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