On the estimation of the jump activity index in the case of random observation times

Abstract

We propose a nonparametric estimator of the jump activity index $\beta$ of a pure-jump semimartingale $X$ driven by a $\beta$-stable process when the underlying observations are coming from a high-frequency setting at irregular times. The proposed estimator is based on an empirical characteristic function using rescaled increments of $X$, with a limit which depends in a complicated way on $\beta$ and the distribution of the sampling scheme. Utilising an asymptotic expansion we derive a consistent estimator for $\beta$ and prove an associated central limit theorem.