On non-parametric estimation of the Lévy kernel of Markov processes
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Publication:2447727
DOI10.1016/j.spa.2013.04.023zbMath1284.62520arXiv1204.3765OpenAlexW2088240981MaRDI QIDQ2447727
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/1204.3765
Density estimation (62G07) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on general state spaces (60J25)
Related Items (5)
Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ Optimal iterative threshold-kernel estimation of jump diffusion processes ⋮ Nonparametric estimation of jump diffusion models ⋮ ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS ⋮ The estimation for Lévy processes in high frequency data
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