Nonparametric estimation for Lévy processes from low-frequency observations

DOI10.3150/08-BEJ148zbMath1200.62095arXiv0709.2007MaRDI QIDQ605855

Michael H. Neumann, Markus Reiss

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.2007

zbMATH Keywords

deconvolutiondensity estimationminimum distance estimatorLévy-Khinchine characteristics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)

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