Statistical Skorohod embedding problem: Optimality and asymptotic normality

Denis Belomestny and John Schoenmakers

Statistics & Probability Letters, 2015, vol. 104, issue C, 169-180

Abstract: Given a Brownian motion B, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time T based on i.i.d. sample from BT. We propose a consistent estimator for the density of T, derive its convergence rates and prove their optimality.

Keywords: Skorohod embedding problem; Mellin transform; Multiplicative deconvolution; Volatility density estimation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.05.015

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