Non-parametric estimation for pure jump irregularly sampled or noisy Lévy processes

DOI10.1111/J.1467-9574.2010.00462.XMaRDI QIDQ6573272

Fabienne Comte, Valentine Genon-Catalot

Publication date: 16 July 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

Lévy processesirregular samplingnoisy observationsadaptive nonparametric estimationhigh frequency-low frequency data

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx) Stochastic processes (60Gxx) Nonparametric inference (62Gxx)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Concentration around the mean for maxima of empirical processes
• Hyperbolic distributions in finance
• Bilateral gamma distributions and processes in financial mathematics
• A kernel type nonparametric density estimator for decompounding
• Nonparametric estimation for Lévy models based on discrete-sampling
• Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
• On the effect of estimating the error density in nonparametric deconvolution
• Nonparametric estimation of the canonical measure for infinitely divisible distributions
• Financial Modelling with Jump Processes
• New concentration inequalities in product spaces

This page was built for publication: Non-parametric estimation for pure jump irregularly sampled or noisy Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6573272)