Estimation of the activity of jumps in time-changed Lévy models
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Publication:391841
DOI10.1214/13-EJS870zbMath1293.60054MaRDI QIDQ391841
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
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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