Nonparametric estimation of the canonical measure for infinitely divisible distributions
DOI10.1080/0094965021000015477zbMATH Open1031.62030OpenAlexW1968726827MaRDI QIDQ4444972FDOQ4444972
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Publication date: 28 January 2004
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/0094965021000015477
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Gaussian processessimulationsmoothingcentral limit theoreminfinitely divisible distributionsempirical characteristic functionKolmogorov canonical measure
Infinitely divisible distributions; stable distributions (60E07) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)
Cited In (12)
- Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
- Non-parametric estimation for pure jump irregularly sampled or noisy Lévy processes
- Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation
- Nonparametric estimation for Lévy processes from low-frequency observations
- An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
- Nonparametric adaptive estimation for pure jump Lévy processes
- Nonparametric inference for discretely sampled Lévy processes
- Nonparametric deconvolution of density estimation based on observed sums
- Nonparametric estimation for compound Poisson process via variational analysis on measures
- Estimation for Lévy processes from high frequency data within a long time interval
- Nonparametric estimation for pure jump Lévy processes based on high frequency data
- Adaptive pointwise estimation for pure jump Lévy processes
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