Lévy matters IV. Estimation for discretely observed Lévy processes

DOI10.1007/978-3-319-12373-8zbMath1330.60002OpenAlexW4206920645MaRDI QIDQ476619

Denis Belomestny, Hiroki Masuda, Valentine Genon-Catalot, Fabienne Comte, Markus Reiss

Publication date: 2 December 2014

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-12373-8

zbMATH Keywords

rate of convergenceempirical characteristic functionLévy processadaptive estimationdiscrete dataparametric estimationnon-parametric estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes: estimation; hidden Markov models (62M05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (20)

Statistical inference for time-changed Lévy processes via Mellin transform approach ⋮ Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ Nonparametric jump variation measures from options ⋮ Estimation of Lévy processes via stochastic programming and Kalman filtering ⋮ Stability of overshoots of Markov additive processes ⋮ Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Local asymptotic normality for Student-Lévy processes under high-frequency sampling ⋮ Sobolev-Hermite versus Sobolev nonparametric density estimation on \(\mathbb{R}\) ⋮ Nonparametric implied Lévy densities ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options ⋮ A non-parametric Bayesian approach to decompounding from high frequency data ⋮ Efficient nonparametric inference for discretely observed compound Poisson processes ⋮ Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity ⋮ Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps ⋮ Bernstein-von Mises theorems for statistical inverse problems. II: Compound Poisson processes ⋮ Indirect inference for time series using the empirical characteristic function and control variates ⋮ Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation

This page was built for publication: Lévy matters IV. Estimation for discretely observed Lévy processes