Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation

Mark Anthony Caruana

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 1, 100-111

Abstract: Given a Lévy process observed on a finite time interval [0, R], we consider the non parametric estimation of the function H, sometimes called the jump function, associated with the Lévy–Khintchine canonical representation over an interval [c, d] where − ∞

Date: 2019
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DOI: 10.1080/03610926.2017.1401083

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