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On the calibration of Lévy driven time series with coupling distances : an application in paleoclimateGairing, Jan, Högele, Michael, Kosenkova, Tetiana, Kulik, Alexei January 2014 (has links)
This article aims at the statistical assessment of time series with large
fluctuations in short time, which are assumed to stem from a continuous process perturbed by a Lévy process exhibiting a heavy tail behavior. We propose an easily implementable procedure to estimate efficiently the statistical difference between the noisy behavior of the data and a given reference jump measure in terms of so-called coupling distances. After a
short introduction to Lévy processes and coupling distances we recall basic statistical approximation results and derive rates of convergence. In the sequel the procedure is elaborated in detail in an abstract setting and eventually applied in a case study to simulated and paleoclimate data. It indicates the dominant presence of a non-stable heavy-tailed jump Lévy component for some tail index greater than 2.
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