Statistical inference for time-changed Lévy processes via composite characteristic function estimation
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Publication:651029
DOI10.1214/11-AOS901zbMath1227.62062arXiv1003.0275MaRDI QIDQ651029
Publication date: 8 December 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.0275
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)
Related Items (23)
Statistical inference for time-changed Lévy processes via Mellin transform approach ⋮ Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes ⋮ Estimation of the Jump Size Density in a Mixed Compound Poisson Process ⋮ Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Estimation of the activity of jumps in time-changed Lévy models ⋮ Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ Testing and inference for fixed times of discontinuity in semimartingales ⋮ Adaptive nonparametric estimation for Lévy processes observed at low frequency ⋮ Realized Laplace transforms for pure-jump semimartingales ⋮ Calibration of self-decomposable Lévy models ⋮ Nonparametric implied Lévy densities ⋮ First passage time of a Lévy degradation model with random effects ⋮ Adaptive pointwise estimation for pure jump Lévy processes ⋮ Nonparametric estimation for irregularly sampled Lévy processes ⋮ Sup-norm convergence rates for Lévy density estimation ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ On the class of distributions of subordinated Lévy processes and bases ⋮ Jump activity estimation for pure-jump semimartingales via self-normalized statistics ⋮ Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ Estimating the input of a Lévy-driven queue by Poisson sampling of the workload process ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
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