Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes

Book, Research, Preprint English OPEN
Johanna Kappus;
  • Publisher: Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
  • Identifiers: doi: 10.18452/4391
  • Subject: Stochastischer Prozess | 330 Wirtschaft | C14 | Nichtparametrisches Verfahren | Statistics of stochastic processes, Low frequency observed Lévy processes, Nonparametric statistics, Adaptive estimation, Model selection with unknown variance | Statistics of stochastic processes | Low frequency observed Lévy processes | Nonparametric statistics | Model selection with unknown variance | Theorie | Adaptive estimation
    • jel: jel:C14
      ddc: ddc:330

For a Lévy process X having finite variation on compact sets and finite first moments, µ( dx) = xv( dx) is a finite signed measure which completely describes the jump dynamics. We construct kernel estimators for linear functionals of µ and provide rates of convergence... View more
  • References (16)
    16 references, page 1 of 2

    001 "HMM in dynamic HAC models" by Wolfgang Karl Härdle, Ostap Okhrin and Weining Wang, January 2012.

    002 "Dynamic Activity Analysis Model Based Win-Win Development Forecasting Under the Environmental Regulation in China" by Shiyi Chen and Wolfgang Karl Härdle, January 2012.

    003 "A Donsker Theorem for Lévy Measures" by Richard Nickl and Markus Reiß, January 2012.

    004 "Computational Statistics (Journal)" by Wolfgang Karl Härdle, Yuichi Mori and Jürgen Symanzik, January 2012.

    005 "Implementing quotas in university admissions: An experimental analysis" by Sebastian Braun, Nadja Dwenger, Dorothea Kübler and Alexander Westkamp, January 2012.

    006 "Quantile Regression in Risk Calibration" by Shih-Kang Chao, Wolfgang Karl Härdle and Weining Wang, January 2012.

    007 "Total Work and Gender: Facts and Possible Explanations" by Michael Burda, Daniel S. Hamermesh and Philippe Weil, February 2012.

    008 "Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?" by Ralf Sabiwalsky, February 2012.

    009 "Comparability Effects of Mandatory IFRS Adoption" by Stefano Cascino and Joachim Gassen, February 2012.

    010 "Fair Value Reclassifications of Financial Assets during the Financial Crisis" by Jannis Bischof, Ulf Brüggemann and Holger Daske, February 2012.

  • Related Organizations (1)
  • Metrics