Spectral-free estimation of Lévy densities in high-frequency regime

DOI10.3150/21-BEJ1326zbMath1492.60128arXiv1702.08787MaRDI QIDQ1983628

Céline Duval, Ester Mariucci

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.08787

zbMATH Keywords

Lévy processesnonparametric estimationinfinite variationLévy density estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Jump processes on discrete state spaces (60J74)

Related Items (3)

Non-asymptotic control of the cumulative distribution function of Lévy processes ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Total variation distance between a jump-equation and its Gaussian approximation

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