Nonparametric estimation for a class of Lévy processes (Q736519): Difference between revisions

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+Song Xi Chen
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+Hall, Peter
@@ Property / author: Hall, Peter / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2009.12.005
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+W1973494949
@@ Property / OpenAlex ID: W1973494949 / rank @@
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@@ Property / cites work @@
+Volatility estimators for discretely sampled Lévy processes
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@@ Property / cites work @@
+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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+Asymptotic inference in Levy processes of the discontinuous type
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+Q3953035
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+On exponential representations of log-spacings of extreme order statistics
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+Spectral calibration of exponential Lévy models
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+Minimax estimation of the noise level and of the deconvolution density in a semiparametric convolution model
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+Sharp Optimality in Density Deconvolution with Dominating Bias. II
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+Kernel estimates of the tail index of a distribution
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+Using a bootstrap method to choose the sample fraction in tail index estimation
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+Selecting the optimal sample fraction in univariate extreme value estimation
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+On the optimal rates of convergence for nonparametric deconvolution problems
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+Kernel-type estimators for the extreme value index
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+A Diagnostic for Selecting the Threshold in Extreme Value Analysis
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+Estimation of distributions, moments and quantiles in deconvolution problems
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+A simple general approach to inference about the tail of a distribution
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+Nonparametric estimation of the measurement error model using multiple indicators.
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+Nonparametric estimation for Lévy processes from low-frequency observations
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+Smoothing the Hill Estimator
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+Estimating the Parameters of a Differential Process
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+Estimation of affine asset pricing models using the empirical characteristic function
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+ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES
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