Adaptive Estimation for Lévy Processes

DOI10.1007/978-3-319-12373-8_2MaRDI QIDQ2786962zbMATH OpenOpenAlexFDO

Authors F. Comte, V. Genon-Catalot

Publication date 24 February 2016

Published in Lévy Matters IV (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-12373-8_2

zbMATH Keywords

adaptive estimationcompound Poisson processdeconvolutionhigh frequency datakernel estimatorsLévy processnonparametric projection estimators

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Cited in

(8)

• A non-parametric Bayesian approach to decompounding from high frequency data
• Stochastic integral operator model for IS, US and WSSUS channels
• Nonparametric estimation for i.i.d. Gaussian continuous time moving average models
• Adaptive estimation for degenerate diffusion processes
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• Multivariate intensity estimation via hyperbolic wavelet selection
• Adaptive nonparametric estimation for Lévy processes observed at low frequency
• scientific article; zbMATH DE number 7387192 (Why is no real title available?)

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