Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process

DOI10.1080/10485250802645824zbMath1158.62023arXiv0807.3469OpenAlexW2130856973MaRDI QIDQ3619662

Shota Gugushvili

Publication date: 8 April 2009

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.3469

zbMATH Keywords

kernel smoothingmean square errorLévy processFourier inversionmean integrated square errorLévy densitycharacteristic triplet

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

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