Risk bounds for the non-parametric estimation of Lévy processes

DOI10.1214/074921706000000789zbMath1117.62085arXivmath/0612697OpenAlexW1997989248MaRDI QIDQ3592310

José E. Figueroa-López, Christian Houdré

Publication date: 12 September 2007

Published in: High Dimensional Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612697

zbMATH Keywords

model selectionconcentration inequalitiesprojection estimationestimation of Poisson processesorcacle inequalities

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

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