Nonparametric estimation for pure jump Lévy processes based on high frequency data
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Publication:1045792
DOI10.1016/J.SPA.2009.09.013zbMATH Open1177.62043OpenAlexW2067801276MaRDI QIDQ1045792FDOQ1045792
Authors: F. Comte, V. Genon-Catalot 
Publication date: 16 December 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2009.09.013
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Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)
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Cited In (51)
- Confidence interval of the jump activity index based on empirical likelihood using high frequency data
- Estimation of the jump size density in a mixed compound Poisson process
- Sup-norm convergence rates for Lévy density estimation
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Nonparametric implied Lévy densities
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Estimation of the characteristics of a Lévy process observed at arbitrary frequency
- Non-parametric estimation for pure jump irregularly sampled or noisy Lévy processes
- 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
- Nonparametric estimation of the jump component in financial time series
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- Sieve-based confidence intervals and bands for Lévy densities
- Reviewing alternative characterizations of Meixner process
- Spectral-free estimation of Lévy densities in high-frequency regime
- Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
- Nonparametric adaptive estimation for pure jump Lévy processes
- Nonparametric inference for discretely sampled Lévy processes
- Statistical inference across time scales
- An inverse problem for infinitely divisible moving average random fields
- Nonparametric estimation for a class of Lévy processes
- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- A least squares estimator for Lévy-driven moving averages based on discrete time observations
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Kernel estimation for characteristics of pure jump processes
- Nonparametric estimation for irregularly sampled Lévy processes
- Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
- Nonparametric estimation for Lévy models based on discrete-sampling
- Nonparametric density estimation in compound Poisson processes using convolution power estimators
- The estimation for Lévy processes in high frequency data
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Threshold estimation for a spectrally negative Lévy process
- Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
- On a linear functional for infinitely divisible moving average random fields
- Multivariate intensity estimation via hyperbolic wavelet selection
- Nonparametric estimation of a renewal reward process from discrete data
- Estimation of Lévy processes via stochastic programming and Kalman filtering
- Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- Adaptive nonparametric estimation for Lévy processes observed at low frequency
- Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\)
- Estimation for Lévy processes from high frequency data within a long time interval
- Recovering Brownian and jump parts from high-frequency observations of a Lévy process
- Quantile estimation for Lévy measures
- Adaptive pointwise estimation for pure jump Lévy processes
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