A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes

Abstract: We suppose that a L\'evy process is observed at discrete time points. Starting from an asymptotically minimax family of estimators for the continuous part of the L\'evy Khinchine characteristics, i.e., the covariance, we derive a data-driven parameter choice for the frequency of estimating the covariance. We investigate a Lepski\u{i}-type stopping rule for the adaptive procedure. Consequently, we use a balancing principle for the best possible data-driven parameter. The adaptive estimator achieves almost the optimal rate. Numerical experiments with the proposed selection rule are also presented.