Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation

DOI10.1080/03610926.2017.1401083OpenAlexW2768541916MaRDI QIDQ5860768

Mark Anthony Caruana

Publication date: 22 November 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1401083

zbMATH Keywords

nonparametric estimationmethod of sieveshigh-frequency frameworkLévy-Khintchine canonical representation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

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• Lévy matters IV. Estimation for discretely observed Lévy processes
• Nonparametric estimation for Lévy processes from low-frequency observations
• Spectral calibration of exponential Lévy models
• Incorporating the stochastic process setup in parameter estimation
• Estimation of the characteristics of a Lévy process
• Empirical Likelihood Methods Based on Characteristic Functions With Applications to Lévy Processes
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
• Estimating the Parameters of a Differential Process
• Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
• Asymptotic properties of power variations of Lévy processes

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