Adaptive wavelet estimation of a compound Poisson process

We study the nonparametric estimation of the jump density of a compound Poisson process from the discrete observation of one trajectory over $[0,T]$. We consider the microscopic regime when the sampling rate $Δ=Δ_T\rightarrow0$ as $T\rightarrow\infty$. We propose an adaptive wavelet threshold density estimator and study its performance for the $L_p$ loss, $p\geq 1$, over Besov spaces. The main novelty is that we achieve minimax rates of convergence for sampling rates $Δ_T$ that vanish with $T$ at arbitrary polynomial rates. More precicely, our estimator attains minimax rates of convergence provided there exists a constant $K\geq 1$ such that the sampling rate $Δ_T$ satisfies $TΔ_T^{2K+2}\leq 1.$ If this condition cannot be satisfied we still provide an upper bound for our estimator. The estimating procedure is based on the inversion of the compounding operator in the same spirit as Buchmann and Grübel (2003).

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