Adaptive nonparametric estimation for Lévy processes observed at low frequency
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Publication:2434500
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.
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Cited in
(22)- Spectral-free estimation of Lévy densities in high-frequency regime
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Quantile estimation for Lévy measures
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