Optimum thresholding using mean and conditional mean squared error
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Publication:1739640
DOI10.1016/j.jeconom.2018.09.011zbMath1452.62762arXiv1708.04339MaRDI QIDQ1739640
Cecilia Mancini, José E. Figueroa-López
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.04339
Lévy jumps; integrated variance; threshold estimator; feasible tuning of estimation parameters; mean and conditional mean squared error
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
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