Second-order properties of thresholded realized power variations of FJA additive processes
Publication:2330961
DOI10.1007/s11203-019-09198-wzbMath1434.62038OpenAlexW2554332726WikidataQ128094896 ScholiaQ128094896MaRDI QIDQ2330961
José E. Figueroa-López, Jeffrey A. Nisen
Publication date: 23 October 2019
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-019-09198-w
Lévy processesadditive processesnonparametric estimationintegrated variance estimationjump features estimationmultipower realized variationstruncated realized variations
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Jump processes on general state spaces (60J76) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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