Adaptive nonparametric estimation for Lévy processes observed at low frequency
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Publication:2434500
DOI10.1016/J.SPA.2013.08.010zbMATH Open1279.62171arXiv1308.6394OpenAlexW1992723871MaRDI QIDQ2434500FDOQ2434500
Authors: Johanna Kappus 
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: This article deals with adaptive nonparametric estimation for L'evy processes observed at low frequency. For general linear functionals of the L'evy measure, we construct kernel estimators, provide upper risk bounds and derive rates of convergence under regularity assumptions. Our focus lies on the adaptive choice of the bandwidth, using model selection techniques. We face here a non-standard problem of model selection with unknown variance. A new approach towards this problem is proposed, which also allows a straightforward generalization to a classical density deconvolution framework.
Full work available at URL: https://arxiv.org/abs/1308.6394
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Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)
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Cited In (22)
- Adaptive quantile estimation in deconvolution with unknown error distribution
- Statistical inference for generalized Ornstein-Uhlenbeck processes
- Estimation of convolution in the model with noise
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