Local linear estimation for stochastic processes driven by -stable Lévy motion

DOI10.1007/S11203-013-9080-3MaRDI QIDQ2392826zbMATH OpenOpenAlexFDO

Authors Yunyan Wang, Lixin Zhang

Publication date 2 August 2013

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

Full work available at URL https://doi.org/10.1007/s11203-013-9080-3

zbMATH Keywords

Lévy motionlocal linear estimatorNadaraya-Watson estimatorstochastic differential equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

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• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
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• Reweighted functional estimation of diffusion models
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Cited in

(8)

• Nadaraya-Watson estimator for stochastic processes driven by stable Lévy motions
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Approximation in law of locally \(\alpha \)-stable Lévy-type processes by non-linear regressions
• Nonparametric estimation of the trend for stochastic differential equations driven by small -stable noises
• Nonparametric Gaussian inference for stable processes
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• Nonparametric estimation of periodic signal disturbed by α-stable noises
• Optimal estimation of the local time and the occupation time measure for an -stable Lévy process

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