Nonparametric Gaussian inference for stable processes

DOI10.1007/s11203-018-9193-9zbMath1432.62308OpenAlexW2902527875MaRDI QIDQ2330965

Ansgar Steland, Fabian Mies

Publication date: 23 October 2019

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

Full work available at URL: https://doi.org/10.1007/s11203-018-9193-9

zbMATH Keywords

jumpskernel regressioninfinitesimal generatorhigh-frequency datastable processsubsampling\(\alpha\)-stable Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Jump processes on discrete state spaces (60J74)

Related Items (1)

Estimation of state-dependent jump activity and drift for Markovian semimartingales

Uses Software

• R
• nlme
• stabledist

Cites Work

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