Testing the characteristics of a Lévy process
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Publication:2447654
DOI10.1016/j.spa.2013.03.016zbMath1294.62179arXiv1304.0877MaRDI QIDQ2447654
Publication date: 28 April 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.0877
empirical characteristic function; volatility; Blumenthal-Getoor index; jump process; nonparametric testing; Lévy-Khinchine characteristics; characteristic triplet; jump density
60G51: Processes with independent increments; Lévy processes
62G10: Nonparametric hypothesis testing
62G20: Asymptotic properties of nonparametric inference
91B84: Economic time series analysis
60G52: Stable stochastic processes
62M02: Markov processes: hypothesis testing
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