Nonparametric estimation and testing time-homogeneity for processes with independent incre\-ments

DOI10.1016/j.spa.2007.07.011zbMath1144.62025OpenAlexW2047481966MaRDI QIDQ927925

Yoichi Nishiyama

Publication date: 10 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.spa.2007.07.011

zbMATH Keywords

martingaleempirical processLévy processnonparametric estimationchange point problemprocess with independent increments

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Estimation in survival analysis and censored data (62N02) Markov processes: hypothesis testing (62M02)

Related Items (4)

Nonparametric estimation for Lévy processes from low-frequency observations ⋮ Jump tail dependence in Lévy copula models ⋮ Identifying the successive Blumenthal-Getoor indices of a discretely observed process ⋮ Functional estimation for Lévy measures of semimartingales with Poissonian jumps

Cites Work

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• On the paper ``Weak convergence of some classes of martingales with jumps
• Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators
• Estimating the Parameters of a Differential Process
• Statistical models based on counting processes

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