Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
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Publication:2316609
DOI10.1214/19-EJS1584zbMath1426.62244arXiv1803.08671OpenAlexW2963213993MaRDI QIDQ2316609
Publication date: 6 August 2019
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.08671
spectral estimationnonparametric inferencehigh-dimensional central limit theoremcompound Poisson-driven Ornstein-Uhlenbeck processmacroscopic observations
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Nonparametric tolerance and confidence regions (62G15) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05)
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