Nonparametric estimation of the canonical measure for infinitely divisible distributions

DOI10.1080/0094965021000015477MaRDI QIDQ4444972zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

Gaussian processessimulationsmoothingcentral limit theoreminfinitely divisible distributionsempirical characteristic functionKolmogorov canonical measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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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
• Nonparametric adaptive estimation for pure jump Lévy processes
• Nonparametric inference for discretely sampled Lévy processes
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
• 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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