2026-04-14T05:21:56Zhttps://recercat.cat/oai/request

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

Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process Amorino, Chiara Jaramillo, Arturo Podolskij, Mark High frequency data Local time Mixed normal distribution Occupation time Stable Lévy processes 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." 2025-11-04T13:56:28Z 2025-11-04T13:56:28Z 2024 2025-11-04T13:56:28Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Amorino C, Jaramillo A, Podolskij M. Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process. Modern Stochastics: Theory and Applications. 2024;11(2):149-68. DOI: 10.15559/24-VMSTA243 2351-6046 http://hdl.handle.net/10230/71763 http://dx.doi.org/10.15559/24-VMSTA243 http://hdl.handle.net/10230/71763 eng Modern Stochastics: Theory and Applications. 2024;11(2):149-168 info:eu-repo/grantAgreement/EC/H2020/815703 © 2024 The Author(s). Published by VTeX. Open access article under the CC BY license. http://creativecommons.org/licenses/by/4.0/ info:eu-repo/semantics/openAccess application/pdf application/pdf VTeX