Sieve-based confidence intervals and bands for Lévy densities
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Publication:453294
DOI10.3150/10-BEJ286zbMath1345.62061arXiv1104.4389MaRDI QIDQ453294
Publication date: 19 September 2012
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.4389
Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Robustness and adaptive procedures (parametric inference) (62F35) Nonparametric tolerance and confidence regions (62G15)
Related Items (17)
High-frequency Donsker theorems for Lévy measures ⋮ Central Limit Theorems for the Non-Parametric Estimation of Time-Changed Lévy Models ⋮ Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias ⋮ Nonparametric inference for discretely sampled Lévy processes ⋮ Confidence sets in nonparametric calibration of exponential Lévy models ⋮ Testing the characteristics of a Lévy process ⋮ On non-parametric estimation of the Lévy kernel of Markov processes ⋮ Adaptive pointwise estimation for pure jump Lévy processes ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Nonparametric estimation of time-changed Lévy models under high-frequency data ⋮ Sup-norm convergence rates for Lévy density estimation ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
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