Estimation of the activity of jumps in time-changed Lévy models

DOI10.1214/13-EJS870zbMath1293.60054MaRDI QIDQ391841

Mohammad Hasan, H. S. Yoon

Publication date: 13 January 2014

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1386943910

zbMATH Keywords

Blumenthal-Getoor indextime-changed Lévy processesabelian theorem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes (62M99)

Related Items (7)

Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data ⋮ Series representations for multivariate time-changed Lévy models ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Jump activity estimation for pure-jump semimartingales via self-normalized statistics ⋮ Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations

Cites Work

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