Nonparametric estimation for a class of Lévy processes
Publication:736519
DOI10.1016/j.jeconom.2009.12.005zbMath1400.62062OpenAlexW1973494949MaRDI QIDQ736519
Aurore Delaigle, Hall, Peter, Song Xi Chen
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.12.005
inverse problemrates of convergencedeconvolutionstable lawempirical characteristic functionLévy processregressionerrors in variablesjump processfinancial data
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Stable stochastic processes (60G52)
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