Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps

DOI10.14490/JJSS.36.37zbMath1134.62357OpenAlexW2012503902MaRDI QIDQ3408720

Yasutaka Shimizu

Publication date: 15 November 2006

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.36.37

zbMATH Keywords

consistencydiscrete observationskernel density estimationMSEjump-diffusionoptimal rateLevy density

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

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Quasi-likelihood analysis for the stochastic differential equation with jumps ⋮ Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression ⋮ Quasi likelihood analysis of volatility and nondegeneracy of statistical random field ⋮ Model selection for Lévy measures in diffusion processes with jumps from discrete observations ⋮ Estimation of the characteristics of a Lévy process ⋮ Estimating functions for jump-diffusions ⋮ Statistical specification of jumps under semiparametric semimartingale models ⋮ A new aspect of a risk process and its statistical inference ⋮ Functional estimation for Lévy measures of semimartingales with Poissonian jumps ⋮ 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 ⋮ An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations ⋮ Threshold selection in jump-discriminant filter for discretely observed jump processes

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