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

DOI10.1111/J.1467-9574.2010.00461.XMaRDI QIDQ6573273zbMATH OpenFDO

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

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Asymptotic Statistics
• Financial Modelling with Jump Processes
• Lévy processes, polynomials and martingales
• Nonparametric adaptive estimation for pure jump Lévy processes
• Nonparametric estimation for Lévy models based on discrete-sampling
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Optimal plug-in estimators for nonparametric functional estimation
• Processes of normal inverse Gaussian type
• Risk bounds for the non-parametric estimation of Lévy processes
• Small-time moment asymptotics for Lévy processes
• Spectral calibration of exponential Lévy models

Cited in

(1)

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

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