Nonparametric estimation and testing time-homogeneity for processes with independent increments

Yoichi Nishiyama

Stochastic Processes and their Applications, 2008, vol. 118, issue 6, 1043-1055

Abstract: We consider a nonparametric estimation problem for the Lévy measure of time-inhomogeneous process with independent increments. We derive the functional asymptotic normality and efficiency, in an l[infinity]-space, of generalized Nelson-Aalen estimators. Also we propose some asymptotically distribution free tests for time-homogeneity of the Lévy measure. Our result is a fruit of the empirical process theory and the martingale theory.

Keywords: Empirical; process; Process; with; independent; increments; Lévy; process; Martingale; Nonparametric; estimation; Change; point; problem (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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