Estimation of the characteristics of a Lévy process observed at arbitrary frequency

DOI10.1111/J.1467-9574.2010.00461.XMaRDI QIDQ6573273FDOQ6573273

Authors: Johanna Kappus, Markus Reiß 

Publication date: 16 July 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Stochastic processes (60Gxx) Inference from stochastic processes (62Mxx)

Cites Work

• Asymptotic Statistics
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Optimal plug-in estimators for nonparametric functional estimation
• Processes of normal inverse Gaussian type
• Lévy processes, polynomials and martingales
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric adaptive estimation for pure jump Lévy processes
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Risk bounds for the non-parametric estimation of Lévy processes
• Small-time moment asymptotics for Lévy processes
• Nonparametric estimation for Lévy models based on discrete-sampling
• Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
• Spectral calibration of exponential Lévy models

Cited In (1)

• Input estimation from discrete workload observations in a Lévy-driven storage system

This page was built for publication: Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6573273)