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arXiv · 2211.06592

Spectral bootstrap confidence bands for L\'evy-driven moving average processes

D. Belomestny·E. Ivanova·T. Orlova
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Abstract

In this paper we study the problem of constructing bootstrap confidence intervals for the L\'evy density of the driving L\'evy process based on high-frequency observations of a L\'evy-driven moving average processes. Using a spectral estimator of the L\'evy density, we propose a novel implementations of multiplier and empirical bootstraps to construct confidence bands on a compact set away from the origin. We also provide conditions under which the confidence bands are asymptotically valid.

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BibTeXRIS

D. Belomestny, E. Ivanova, T. Orlova. 2022-11-12. Spectral bootstrap confidence bands for L\'evy-driven moving average processes. https://arxiv.org/abs/2211.06592

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