Nonparametric estimation for irregularly sampled Lévy processes
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Abstract: We consider nonparametric statistical inference for L'evy processes sampled irregularly, at low frequency. The estimation of the jump dynamics as well as the estimation of the distributional density are investigated. Non-asymptotic risk bounds are derived and the corresponding rates of convergence are discussed under global as well as local regularity assumptions. Moreover, minimax optimality is proved for the estimator of the jump measure. Some numerical examples are given to illustrate the practical performance of the estimation procedure.
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Cited in
(26)- Spectral-free estimation of Lévy densities in high-frequency regime
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Sampling distribution for a class of estimators for nonregular linear processes
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- Nonparametric estimation for a class of Lévy processes
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