Nonparametric estimation for pure jump Lévy processes based on high frequency data
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Cited in
(51)- An inverse problem for infinitely divisible moving average random fields
- Spectral-free estimation of Lévy densities in high-frequency regime
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Threshold estimation for a spectrally negative Lévy process
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Reviewing alternative characterizations of Meixner process
- Quantile estimation for Lévy measures
- Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
- Sieve-based confidence intervals and bands for Lévy densities
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Nonparametric estimation for Lévy models based on discrete-sampling
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Multivariate intensity estimation via hyperbolic wavelet selection
- Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)
- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- On a linear functional for infinitely divisible moving average random fields
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimation for Lévy processes from high frequency data within a long time interval
- Nonparametric estimation of a renewal reward process from discrete data
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Estimation of the characteristics of a Lévy process observed at arbitrary frequency
- Non-parametric estimation for pure jump irregularly sampled or noisy Lévy processes
- Nonparametric implied Lévy densities
- Nonparametric density estimation in compound Poisson processes using convolution power estimators
- Estimation of Lévy processes via stochastic programming and Kalman filtering
- Recovering Brownian and jump parts from high-frequency observations of a Lévy process
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- The estimation for Lévy processes in high frequency data
- Nonparametric estimation of the jump component in financial time series
- Nonparametric adaptive estimation for pure jump Lévy processes
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
- Nonparametric inference for discretely sampled Lévy processes
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Statistical inference across time scales
- Kernel estimation for characteristics of pure jump processes
- Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
- Sup-norm convergence rates for Lévy density estimation
- Adaptive pointwise estimation for pure jump Lévy processes
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Nonparametric estimation for irregularly sampled Lévy processes
- Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
- A least squares estimator for Lévy-driven moving averages based on discrete time observations
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Adaptive nonparametric estimation for Lévy processes observed at low frequency
- Estimation of the jump size density in a mixed compound Poisson process
- Nonparametric estimation for a class of Lévy processes
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