An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations

DOI10.1080/10485252.2011.581375zbMath1229.62108OpenAlexW2017731990MaRDI QIDQ3106437

Claudia Klüppelberg, Florian A. J. Ueltzhöfer

Publication date: 21 December 2011

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2011.581375

zbMATH Keywords

Lévy processnonparametric estimationadaptive model selection

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

Related Items (9)

Estimation of the Jump Size Density in a Mixed Compound Poisson Process ⋮ Multivariate intensity estimation via hyperbolic wavelet selection ⋮ Estimation of Lévy processes via stochastic programming and Kalman filtering ⋮ Nonparametric density estimation in compound Poisson processes using convolution power estimators ⋮ On non-parametric estimation of the Lévy kernel of Markov processes ⋮ Adaptive pointwise estimation for pure jump Lévy processes ⋮ A non-parametric Bayesian approach to decompounding from high frequency data ⋮ Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation ⋮ Pareto Lévy Measures and Multivariate Regular Variation

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