Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise

DOI10.1016/j.spa.2015.09.009zbMath1383.62023arXiv1503.04530OpenAlexW2963661602MaRDI QIDQ901300

Ester Mariucci

Publication date: 23 December 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.04530

zbMATH Keywords

Lévy processesasymptotic equivalencenonparametric experimentsLe Cam distance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Theory of statistical experiments (62B15)

Related Items (5)

Classical robots perturbed by Lévy processes: analysis and Lévy disturbance rejection methods ⋮ The Le Cam distance between density estimation, Poisson processes and Gaussian white noise ⋮ Strong Gaussian approximation of the mixture Rasch model ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Asymptotic nonequivalence of density estimation and Gaussian white noise for small densities

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