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Threshold Estimation for a Spectrally Negative Lévy Process

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  • Honglong You
  • Chuncun Yin

Abstract

Consider a spectrally negative Lévy process with unknown diffusion coefficient and Lévy measure and suppose that the high frequency trading data is given. We use the techniques of threshold estimation and regularized Laplace inversion to obtain the estimator of survival probability for a spectrally negative Lévy process. The asymptotic properties are given for the proposed estimator. Simulation studies are also given to show the finite sample performance of our estimator.

Suggested Citation

  • Honglong You & Chuncun Yin, 2020. "Threshold Estimation for a Spectrally Negative Lévy Process," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-12, July.
    • Handle: RePEc:hin:jnlmpe:3561089
    DOI: 10.1155/2020/3561089
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    Cited by:

    1. Kang Hu & Ya Huang & Yingchun Deng, 2023. "Estimating the Gerber–Shiu Function in the Two-Sided Jumps Risk Model by Laguerre Series Expansion," Mathematics, MDPI, vol. 11(9), pages 1-30, April.

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