Adaptive nonparametric estimation for Lévy processes observed at low frequency
From MaRDI portal
Publication:2434500
DOI10.1016/j.spa.2013.08.010zbMath1279.62171arXiv1308.6394OpenAlexW1992723871MaRDI QIDQ2434500
Publication date: 6 February 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.6394
Density estimation (62G07) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)
Related Items
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Estimation of convolution in the model with noise ⋮ High-frequency Donsker theorems for Lévy measures ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ Linear functional estimation under multiplicative measurement error ⋮ Adaptive density estimation in deconvolution problems with unknown error distribution ⋮ Quantile estimation for Lévy measures ⋮ Adaptive estimation of marginal random-effects densities in linear mixed-effects models ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Nonparametric estimation for irregularly sampled Lévy processes ⋮ Efficient nonparametric inference for discretely observed compound Poisson processes ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Non parametric estimation of the diffusion coefficients of a diffusion with jumps ⋮ Nonparametric adaptive estimation for grouped data ⋮ Adaptive quantile estimation in deconvolution with unknown error distribution ⋮ Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation for Lévy processes from high frequency data within a long time interval
- Adaptive estimation of linear functionals in the convolution model and applications
- Nonparametric estimation for Lévy processes from low-frequency observations
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation
- On the optimal rates of convergence for nonparametric deconvolution problems
- Spectral estimation of the fractional order of a Lévy process
- Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
- Spectral calibration of exponential Lévy models
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- A Donsker theorem for Lévy measures
- Adaptive estimation of linear functionals under different performance measures
- Adaptive estimation of linear functionals by model selection
- Nonparametric adaptive estimation for pure jump Lévy processes
- Nonparametric inference for discretely sampled Lévy processes
- Adaptive circular deconvolution by model selection under unknown error distribution
- Data-Driven Density Estimation in the Presence of Additive Noise with unknown Distribution
- Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
- Risk bounds for the non-parametric estimation of Lévy processes
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Asymptotically Minimax Adaptive Estimation. II. Schemes without Optimal Adaptation: Adaptive Estimators
- On the effect of estimating the error density in nonparametric deconvolution
- On a Problem of Adaptive Estimation in Gaussian White Noise
- Financial Modelling with Jump Processes
- An alternative point of view on Lepski's method
- Uniform Central Limit Theorems
- On Continuity Properties of Infinitely Divisible Distribution Functions
