Asymptotic lower bounds in estimating jumps

Abstract

We study the problem of the efficient estimation of the jumps for stochastic processes. We assume that the stochastic jump process $(X_t{)}_{t\in [0,1]}$ is observed discretely, with a sampling step of size $1/n$. In the spirit of Hajek's convolution theorem, we show some lower bounds for the estimation error of the sequence of the jumps $(\Delta X_{T_k}{)}_k$. As an intermediate result, we prove a LAMN property, with rate $\sqrt{n}$, when the marks of the underlying jump component are deterministic. We deduce then a convolution theorem, with an explicit asymptotic minimal variance, in the case where the marks of the jump component are random. To prove that this lower bound is optimal, we show that a threshold estimator of the sequence of jumps $(\Delta X_{T_k}{)}_k$ based on the discrete observations, reaches the minimal variance of the previous convolution theorem.

Published in at http://dx.doi.org/10.3150/13-BEJ515 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

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• Do price and volatility jump together?
• Nonparametric tests for pathwise properties of semimartingales
• LAMN property for hidden processes: the case of integrated diffusions