Inference on the Lévy measure in case of noisy observations

DOI10.1016/j.spl.2014.01.008zbMath1288.62135OpenAlexW2101732728MaRDI QIDQ2452885

Mathias Vetter

Publication date: 5 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/30179

zbMATH Keywords

weak convergencehigh frequency datanonparametric statisticsLevy processmicrostructure noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations

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