2026-04-13T19:36:41Zhttps://recercat.cat/oai/request

oai:recercat.cat:10230/717632025-11-05T19:45:20Zcom_2072_6col_2072_452952

00925njm 22002777a 4500 dc Amorino, Chiara author Jaramillo, Arturo author Podolskij, Mark author 2025-11-04T13:56:28Z 2025-11-04T13:56:28Z 2024 2025-11-04T13:56:28Z A novel theoretical result on estimation of the local time and the occupation time measure of an α-stable Lévy process with α∈(1,2) is presented. The approach is based upon computing the conditional expectation of the desired quantities given high frequency data, which is an L2-optimal statistic by construction. The corresponding stable central limit theorems are proved and a statistical application is discussed. In particular, this work extends the results of [20], which investigated the case of the Brownian motion. The authors gratefully acknowledge financial support of ERC Consolidator Grant 815703 "STAMFORD: Statistical Methods for High Dimensional Diffusions." http://hdl.handle.net/10230/71763 High frequency data Local time Mixed normal distribution Occupation time Stable Lévy processes Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process