Nonparametric estimation for irregularly sampled Lévy processes

DOI10.1007/s11203-016-9144-2zbMath1405.62113arXiv1511.05780OpenAlexW2962918905MaRDI QIDQ1744225

Johanna Kappus

Publication date: 16 April 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.05780

zbMATH Keywords

Lévy processesdensity estimationirregular samplingjump dynamicsnonparametric statistical inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Spectral-free estimation of Lévy densities in high-frequency regime

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation for Lévy processes from high frequency data within a long time interval
• Nonparametric estimation for Lévy processes from low-frequency observations
• Statistical inference for time-changed Lévy processes via composite characteristic function estimation
• Density estimation with heteroscedastic error
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
• Nonparametric adaptive estimation for pure jump Lévy processes
• Adaptive nonparametric estimation for Lévy processes observed at low frequency
• Estimating the Parameters of a Differential Process
• The Exact Constant in the Rosenthal Inequality for Random Variables with Mean Zero
• On the effect of estimating the error density in nonparametric deconvolution
• On Continuity Properties of Infinitely Divisible Distribution Functions
• Introduction to nonparametric estimation

This page was built for publication: Nonparametric estimation for irregularly sampled Lévy processes