- Date: 22 Apr. (Thu.)
- Place: On the Web
- Time: 16:30 – 18:00
- Speaker: Jorge González Cázares (University of Warwick)
- Title: Recovering Brownian and jump parts from high-frequency observations of a Lévy process
- Abstract:
We introduce two general non-parametric methods for recovering paths of the Brownian and jump components from high- frequency observations of a Lévy process, both methods yield the same polynomial rate of convergence dependent on the Blumenthal-Getoor index. The first procedure relies on reordering of independently sampled normal increments and thus avoids tuning parameters. The functionality of this method is a consequence of the small time predominance of the Brownian component, the presence of exchangeable structures, and fast convergence of normal empirical quantile functions. The second procedure filters the increments and compensates with the final value, requiring a carefully chosen threshold.
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