Recovering Brownian and jump parts from high-frequency observations of a Lévy process

DOI10.3150/20-BEJ1314zbMath1469.60145arXiv2003.05363OpenAlexW3193532262MaRDI QIDQ1983615

Jevgenijs Ivanovs, Jorge González Cázares

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.05363

zbMATH Keywords

Brownian bridgeexchangeabilitycouplinghigh-frequency statisticsreordering of increments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05)

Related Items (2)

A note on recovering the Brownian motion component from a Lévy process ⋮ Implementable coupling of Lévy process and Brownian motion

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