Nonparametric Gaussian inference for stable processes
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Cites work
- A selective overview of nonparametric methods in financial econometrics
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Continuous time Markov processes. An introduction.
- Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
- Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Estimating functions for diffusion-type processes
- Estimating functions for SDE driven by stable Lévy processes
- Estimating the degree of activity of jumps in high frequency data
- Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 5819433 (Why is no real title available?)
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- scientific article; zbMATH DE number 3222478 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Inference from high-frequency data: a subsampling approach
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics
- Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
- Local linear estimation for stochastic processes driven by -stable Lévy motion
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
- Near-optimal estimation of jump activity in semimartingales
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Nonparametric drift estimation from ergodic samples
- Nonparametric estimation of the drift coefficient in the diffusion equation
- Nonparametric inference of discretely sampled stable Lévy processes
- Nonparametric statistics for stochastic processes
- On estimating the diffusion coefficient from discrete observations
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- On the functional estimation of jump-diffusion models.
- On the functional estimation of multivariate diffusion processes
- On the jump activity index for semimartingales
- Recursive Estimation in Diffusion Model
- Spectral methods for identifying scalar diffusions
- Subsampling
- Subsampling high frequency data
- Testing for pure-jump processes for high-frequency data
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- Weak convergence and empirical processes. With applications to statistics
Cited in
(11)- Efficient estimation of stable Lévy process with symmetric jumps
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Estimating functions for SDE driven by stable Lévy processes
- Nonparametric inference of discretely sampled stable Lévy processes
- scientific article; zbMATH DE number 3879862 (Why is no real title available?)
- Slepian models for non-stationary Gaussian processes
- Geometric stick-breaking processes for continuous-time Bayesian nonparametric modeling
- scientific article; zbMATH DE number 962365 (Why is no real title available?)
- Estimation of a pure-jump stable Cox-Ingersoll-Ross process
- Uniformly asymptotic normality of estimation of the drift function for diffusion processes
- Drift Bursts in Pure Jumps: Detection and Application to Bitcoin
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