Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
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Publication:2215954
DOI10.1214/20-EJS1769zbMath1455.62163arXiv1906.08062MaRDI QIDQ2215954
Publication date: 15 December 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.08062
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Statistical aspects of information-theoretic topics (62B10)
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Estimation of tempered stable Lévy models of infinite variation ⋮ Estimation of mixed fractional stable processes using high-frequency data ⋮ Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
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