Nonparametric estimation for a class of Lévy processes

DOI10.1016/j.jeconom.2009.12.005zbMath1400.62062MaRDI QIDQ736519

Aurore Delaigle, Hall, Peter, Song Xi Chen

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.12.005

zbMATH Keywords

inverse problem; rates of convergence; deconvolution; stable law; empirical characteristic function; Lévy process; regression; errors in variables; jump process; financial data

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

60G52: Stable stochastic processes

Related Items

Unnamed Item, Central limit theorems of range-based estimators for diffusion models, The estimation for Lévy processes in high frequency data, Sup-norm convergence rates for Lévy density estimation, Efficient nonparametric inference for discretely observed compound Poisson processes, A data-driven framework for consistent financial valuation and risk measurement, 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, Testing for pure-jump processes for high-frequency data, Nonparametric inference for discretely sampled Lévy processes, Nonparametric density estimation in compound Poisson processes using convolution power estimators, Efficient estimation of integrated volatility in presence of infinite variation jumps, Jump activity estimation for pure-jump semimartingales via self-normalized statistics, Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation, An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations, Deconvolution for an atomic distribution: rates of convergence

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric estimation for Lévy processes from low-frequency observations
• On the optimal rates of convergence for nonparametric deconvolution problems
• Estimating the degree of activity of jumps in high frequency data
• Spectral calibration of exponential Lévy models
• Estimation of distributions, moments and quantiles in deconvolution problems
• Volatility estimators for discretely sampled Lévy processes
• Kernel estimates of the tail index of a distribution
• Asymptotic inference in Levy processes of the discontinuous type
• A simple general approach to inference about the tail of a distribution
• Nonparametric estimation of the measurement error model using multiple indicators.
• On exponential representations of log-spacings of extreme order statistics
• Kernel-type estimators for the extreme value index
• Minimax estimation of the noise level and of the deconvolution density in a semiparametric convolution model
• Selecting the optimal sample fraction in univariate extreme value estimation
• A Diagnostic for Selecting the Threshold in Extreme Value Analysis
• Estimating the Parameters of a Differential Process
• Fisher's Information for Discretely Sampled Lvy Processes
• Sharp Optimality in Density Deconvolution with Dominating Bias. II
• Smoothing the Hill Estimator
• ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Estimation of affine asset pricing models using the empirical characteristic function