Statistical Skorohod embedding problem: optimality and asymptotic normality
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Publication:491725
DOI10.1016/J.SPL.2015.05.015zbMath1396.62071arXiv1407.0873OpenAlexW650486674MaRDI QIDQ491725
Denis Belomestny, John G. M. Schoenmakers
Publication date: 19 August 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.0873
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)
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Statistical inference for time-changed Lévy processes via Mellin transform approach ⋮ Nonparametric density estimation from observations with multiplicative measurement errors ⋮ Statistical inference for scale mixture models via Mellin transform approach ⋮ Estimation of stopping times for stopped self-similar random processes ⋮ Adaptive Laguerre density estimation for mixed Poisson models ⋮ Nonparametric estimation of the mixing density using polynomials
Cites Work
- Estimation of a multivariate stochastic volatility density by kernel deconvolution
- Deconvolution problems in nonparametric statistics
- The Skorokhod embedding problem and its offspring
- Nonparametric volatility density estimation
- A kernel type nonparametric density estimator for decompounding
- Regularization independent of the noise level: an analysis of quasi-optimality
- Normal Variance-Mean Mixtures and z Distributions
- Introduction to nonparametric estimation
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