Nonparametric inference for discretely sampled Lévy processes
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Publication:2428954
DOI10.1214/11-AIHP433zbMath1235.62121arXiv0908.3121MaRDI QIDQ2428954
Publication date: 22 April 2012
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.3121
mean square error; empirical characteristic function; empirical process; maximal inequality; Fourier inversion; Lévy density
60G51: Processes with independent increments; Lévy processes
62G07: Density estimation
62M09: Non-Markovian processes: estimation
62M05: Markov processes: estimation; hidden Markov models
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