A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes

DOI10.1007/S11203-021-09264-2MaRDI QIDQ2676877zbMATH OpenOpenAlexFDO

Authors Katerina Papagiannouli

Publication date 28 September 2022

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2011.12697

zbMATH Keywords

adaptive estimationbalancing principleLepskitype rulemulti-dimensional Lévy processesstatistical inference covariance

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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Cited in

(2)

• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
• A Lepski\u{i}-type stopping rule for the covariance estimation of multi-dimensional L\'evy processes

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