Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps (Q3408720)
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scientific article; zbMATH DE number 5072406
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| English | Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps |
scientific article; zbMATH DE number 5072406 |
Statements
Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps (English)
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15 November 2006
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consistency
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discrete observations
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jump-diffusion
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kernel density estimation
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Levy density
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MSE
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optimal rate
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0.8794293999671936
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0.8699162602424622
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0.8490765690803528
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0.842482328414917
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0.8324055075645447
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