Testing the characteristics of a Lévy process

DOI10.1016/j.spa.2013.03.016zbMath1294.62179arXiv1304.0877OpenAlexW1978706035MaRDI QIDQ2447654

Markus Reiss

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.0877

zbMATH Keywords

empirical characteristic functionvolatilityBlumenthal-Getoor indexjump processnonparametric testingLévy-Khinchine characteristicscharacteristic tripletjump density

Mathematics Subject Classification ID

Related Items (13)

High-frequency Donsker theorems for Lévy measures ⋮ Estimation of tempered stable Lévy models of infinite variation ⋮ Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ Information bounds for inverse problems with application to deconvolution and Lévy models ⋮ Estimation of mixed fractional stable processes using high-frequency data ⋮ Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process ⋮ Quantile estimation for Lévy measures ⋮ Efficient nonparametric inference for discretely observed compound Poisson processes ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Efficient estimation of integrated volatility in presence of infinite variation jumps ⋮ Near-optimal estimation of jump activity in semimartingales ⋮ Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps

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