Functional estimation for Lévy measures of semimartingales with Poissonian jumps

DOI10.1016/j.jmva.2008.10.006zbMath1159.62022OpenAlexW1973573083MaRDI QIDQ1012526

Yasutaka Shimizu

Publication date: 21 April 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.10.006

zbMATH Keywords

asymptotic efficiencydiscrete observationssemimartingales with jumps

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Generalizations of martingales (60G48)

Related Items

Threshold estimation for a spectrally negative Lévy process, Two-step estimation of ergodic Lévy driven SDE, Estimation of the expected discounted penalty function for Lévy insurance risks, Estimating functions for jump-diffusions, Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps, An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations, Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model, Threshold selection in jump-discriminant filter for discretely observed jump processes

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