Adaptive nonparametric estimation for Lévy processes observed at low frequency

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.

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Year of publication:	2014
Authors:	Kappus, Johanna
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 1, p. 730-758
Publisher:	Elsevier
Subject:	Lévy process \| Nonparametric estimation \| Adaptive estimation \| Deconvolution \| Model selection

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010719750