Adaptive nonparametric estimation for Lévy processes observed at low frequency

Johanna Kappus

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 730-758

Abstract: This article deals with adaptive nonparametric estimation for Lévy processes observed at low frequency. For general linear functionals of the Lévy measure, we construct kernel estimators, provide upper risk bounds and derive rates of convergence under regularity assumptions.

Keywords: Lévy process; Nonparametric estimation; Adaptive estimation; Deconvolution; Model selection (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:124:y:2014:i:1:p:730-758

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DOI: 10.1016/j.spa.2013.08.010

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