Inference on the Lévy measure in case of noisy observations
DOI10.1016/J.SPL.2014.01.008zbMATH Open1288.62135OpenAlexW2101732728MaRDI QIDQ2452885FDOQ2452885
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
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Cites Work
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- Introduction to empirical processes and semiparametric inference
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- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- A Tale of Two Time Scales
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- Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
- A Donsker theorem for Lévy measures
- SPECTRAL ANALYSIS WITH TAPERED DATA
- Nonparametric inference on Lévy measures and copulas
- Estimating the Parameters of a Differential Process
- A note on estimation for gamma and stable processes
- Asymptotic inference in Levy processes of the discontinuous type
Cited In (6)
- Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
- 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
- Estimating time-changes in noisy Lévy models
- Noisy inference and oracles
- On selecting the minimum observation time for determining the Leq of a random noise with a given level of confidence
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