Inference on the Lévy measure in case of noisy observations

DOI10.1016/J.SPL.2014.01.008MaRDI QIDQ2452885zbMATH OpenOpenAlexFDO

Authors Mathias Vetter

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/30179

zbMATH Keywords

weak convergencemicrostructure noisenonparametric statisticshigh frequency dataLevy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3772800 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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• A Tale of Two Time Scales
• A note on estimation for gamma and stable processes
• Asymptotic inference in Levy processes of the discontinuous type
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Estimating the Parameters of a Differential Process
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• Introduction to empirical processes and semiparametric inference
• Microstructure noise in the continuous case: the pre-averaging approach
• Nonparametric adaptive estimation for pure jump Lévy processes
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Nonparametric inference on Lévy measures and copulas
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Small-time expansions for the transition distributions of Lévy processes
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Weak convergence and empirical processes. With applications to statistics

Cited in

(6)

• On selecting the minimum observation time for determining the Leq of a random noise with a given level of confidence
• Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
• Noisy inference and oracles
• Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
• Estimating time-changes in noisy Lévy models

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