Optimum thresholding using mean and conditional mean squared error

DOI10.1016/j.jeconom.2018.09.011zbMath1452.62762arXiv1708.04339OpenAlexW2964283435MaRDI QIDQ1739640

Cecilia Mancini, José E. Figueroa-López

Publication date: 26 April 2019

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

Full work available at URL: https://arxiv.org/abs/1708.04339

zbMATH Keywords

Lévy jumpsintegrated variancethreshold estimatorfeasible tuning of estimation parametersmean and conditional mean squared error

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

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