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