Estimation of the characteristics of a Lévy process observed at arbitrary frequency

DOI10.1111/j.1467-9574.2010.00461.xMaRDI QIDQ6573273

Markus Reiß, Johanna Kappus

Publication date: 16 July 2024

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

Mathematics Subject Classification ID

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

Cites Work

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• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Spectral calibration of exponential Lévy models
• Small-time moment asymptotics for Lévy processes
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Optimal plug-in estimators for nonparametric functional estimation
• Processes of normal inverse Gaussian type
• Nonparametric adaptive estimation for pure jump Lévy processes
• Risk bounds for the non-parametric estimation of Lévy processes
• Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
• Asymptotic Statistics
• Lévy processes, polynomials and martingales
• Financial Modelling with Jump Processes

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