Nonparametric estimation of the canonical measure for infinitely divisible distributions

DOI10.1080/0094965021000015477zbMath1031.62030OpenAlexW1968726827MaRDI QIDQ4444972

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Publication date: 28 January 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965021000015477

zbMATH Keywords

smoothingsimulationGaussian processesinfinitely divisible distributionscentral limit theoremempirical characteristic functionKolmogorov canonical measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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Nonparametric estimation for Lévy processes from low-frequency observations ⋮ Nonparametric inference for discretely sampled Lévy processes ⋮ Nonparametric estimation for compound Poisson process via variational analysis on measures ⋮ Nonparametric adaptive estimation for pure jump Lévy processes ⋮ Adaptive pointwise estimation for pure jump Lévy processes ⋮ Estimation for Lévy processes from high frequency data within a long time interval ⋮ Nonparametric deconvolution of density estimation based on observed sums ⋮ Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process ⋮ An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations ⋮ Nonparametric estimation for pure jump Lévy processes based on high frequency data

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