Sup-norm convergence rates for Lévy density estimation

DOI10.1007/S10687-016-0246-4MaRDI QIDQ508709zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 8 February 2017

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-016-0246-4

zbMATH Keywords

nonparametric inferenceprojection estimatesmaximal deviationsup-norm convergence ratesLévy density estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

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Cited in

(7)

• Super optimal rates for nonparametric density estimation via projection estimators
• Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates
• Sup-norm convergence rates for Lévy density estimation
• 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
• Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
• On the estimation of smooth densities by strict probability densities at optimal rates in sup-norm

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