Adaptive nonparametric estimation for Lévy processes observed at low frequency
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Publication:2434500
DOI10.1016/J.SPA.2013.08.010zbMath1279.62171arXiv1308.6394OpenAlexW1992723871MaRDI QIDQ2434500
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.6394
Density estimation (62G07) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)
Related Items (20)
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Estimation of convolution in the model with noise ⋮ High-frequency Donsker theorems for Lévy measures ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ Linear functional estimation under multiplicative measurement error ⋮ Adaptive density estimation in deconvolution problems with unknown error distribution ⋮ Quantile estimation for Lévy measures ⋮ Adaptive estimation of marginal random-effects densities in linear mixed-effects models ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Nonparametric estimation for irregularly sampled Lévy processes ⋮ Efficient nonparametric inference for discretely observed compound Poisson processes ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Non parametric estimation of the diffusion coefficients of a diffusion with jumps ⋮ Nonparametric adaptive estimation for grouped data ⋮ Adaptive quantile estimation in deconvolution with unknown error distribution ⋮ Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation ⋮ Nonparametric evaluation of the first passage time of degradation processes ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
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