Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process (Q2215954): Difference between revisions

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+Fisher's Information for Discretely Sampled Lvy Processes
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+Estimating the degree of activity of jumps in high frequency data
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+Identifying the successive Blumenthal-Getoor indices of a discretely observed process
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+Contrast function estimation for the drift parameter of ergodic jump diffusion process
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+Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes
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+Parameter estimation of Gaussian stationary processes using the generalized method of moments
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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
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+Efficient estimation of stable Lévy process with symmetric jumps
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+Near-optimal estimation of jump activity in semimartingales
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+Estimating functions for SDE driven by stable Lévy processes
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+Financial Modelling with Jump Processes
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+Optimum thresholding using mean and conditional mean squared error
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+Optimally thresholded realized power variations for Lévy jump diffusion models
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+Jump filtering and efficient drift estimation for Lévy-driven SDEs
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+A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
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+A review of asymptotic theory of estimating functions
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+Efficient estimation of integrated volatility in presence of infinite variation jumps
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+Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices
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+Estimating functions for jump-diffusions
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+Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
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+On the jump activity index for semimartingales
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+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
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+Wasserstein and total variation distance between marginals of Lévy processes
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+Parametric Estimation of Lévy Processes
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+Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
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+Estimation of state-dependent jump activity and drift for Markovian semimartingales
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+Testing the characteristics of a Lévy process
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+The normal inverse gaussian lévy process: simulation and approximation
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+Jump activity estimation for pure-jump semimartingales via self-normalized statistics
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