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Nonparametric inference for discretely s...

Gugushvili, Shota...

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Nonparametric inference for discretely sampled L\'evy processes by Gugushvili, Shota ( Author )

Content Provider	Lemonjar Open Access
Publisher	N.A
Publication Date	01-02-2012
Summary	Given a sample from a discretely observed Lévy process X = (Xt)t≥0 of the finite jump activity, the problem of nonparametric estimation of the Lévy density ρ corresponding to the process X is studied. An estimator of ρ is proposed that is based on a suitable inversion of the Lévy–Khintchine formula and a plug-in device. The main results of the paper deal with upper risk bounds for estimation of ρ over suitable classes of Lévy triplets. The corresponding lower bounds are also discussed.
ISBN	-
Item Type	Article
File Type	pdf
File Size	38.10 KB
Language	English
Subjects	-
Unlimited	MYR 1.20
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URL	https://projecteuclid.org/journals/annales-de-linstitut-henri-poincare-probabilites-et-statistiques/volume-48/issue-1/Nonparametric-inference-for-discretely-sampled-L%C3%A9vy-processes/10.1214/11-AIHP433.full

Citation

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AMA 11th EditionReferences

Gugushvili, Shota. Nonparametric inference for discretely sampled L\'evy processes. N.A. February 01, 2012. Accessed November 10, 2024. https://online.provdatabase.com/cite/2407

APA 7th EditionReferences

Gugushvili, Shota. (2012). Nonparametric inference for discretely sampled L\'evy processes. N.A. https://online.provdatabase.com/cite/2407

Chicago 17th EditionReferences

Gugushvili, Shota. Nonparametric inference for discretely sampled L\'evy processes. N.A. 2012. https://online.provdatabase.com/cite/2407

HarvardReferences

Gugushvili, Shota. (2012). Nonparametric inference for discretely sampled L\'evy processes. [Online]. N.A. Available from: https://online.provdatabase.com/cite/2407. (Accessed 10 November 2024).

Harvard AustraliaReferences

Gugushvili, Shota, 2012, Nonparametric inference for discretely sampled L\'evy processes, N.A, viewed 10 November 2024, <https://online.provdatabase.com/cite/2407>

MLA 9th EditionWorks Cited

Gugushvili, Shota. Nonparametric inference for discretely sampled L\'evy processes. N.A, 2012. PROV Database, https://online.provdatabase.com/cite/2407.

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