论文标题
莱维驱动的移动平均过程的光谱引导置信带
Spectral bootstrap confidence bands for Lévy-driven moving average processes
论文作者
论文摘要
在本文中，我们研究了基于Lévy驱动的移动平均过程的高频观察，构建Bootstrap置信区间的问题。使用Lévy密度的光谱估计器，我们提出了一种新颖的乘数和经验引导程序的实现，以在远离原点的紧凑型上构建置信带。我们还提供了置信带无效的条件。
In this paper we study the problem of constructing bootstrap confidence intervals for the Lévy density of the driving Lévy process based on high-frequency observations of a Lévy-driven moving average processes. Using a spectral estimator of the Lévy 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.
