Lévy density estimation via information projection onto wavelet subspaces

DOI10.1016/J.SPL.2010.07.001zbMath1195.62134OpenAlexW2073691905MaRDI QIDQ1957156

Seongjoo Song

Publication date: 24 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.07.001

zbMATH Keywords

Lévy processesdensity estimationinformation projection

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Markov processes: estimation; hidden Markov models (62M05) Statistical aspects of information-theoretic topics (62B10)

Related Items (2)

Multivariate intensity estimation via hyperbolic wavelet selection ⋮ Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression

Cites Work

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• Spectral calibration of exponential Lévy models
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• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Regularization independent of the noise level: an analysis of quasi-optimality
• Financial Modelling with Jump Processes

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