Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process

Abstract

A novel theoretical result on estimation of the local time and the occupation time measure of an α-stable Lévy process with $\alpha \in (1,2)$ is presented. The approach is based upon computing the conditional expectation of the desired quantities given high frequency data, which is an ${L^{2}}$-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.

Keywords

• high frequency data
• Local time
• mixed normal distribution
• occupation time
• stable Lévy processes