Nonparametric estimation for Lévy processes from low-frequency observations

13 September 2007

Papers citing "Nonparametric estimation for Lévy processes from low-frequency observations"

50 / 55 papers shown

Title
Adaptive minimax estimation for discretely observed Lévy processes Céline Duval Taher Jalal Ester Mariucci 29 0 0 31 Oct 2024
Multiplicative deconvolution under unknown error distribution S. Miguel Jan Johannes Maximilian Siebel 23 1 0 16 Aug 2023
Nonparametric estimation of the jump-size distribution for a stochastic storage system with periodic observations L. Ravner 12 0 0 19 Jul 2023
Estimating a multivariate Lévy density based on discrete observations Maximilian F. Steffen 11 0 0 23 May 2023
Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes Ekaterina N. Morozova V. Panov 11 0 0 25 Oct 2022
A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes Katerina Papagiannouli 6 0 0 25 Nov 2020
On the nonparametric inference of coefficients of self-exciting jump-diffusion Chiara Amorino Charlotte Dion A. Gloter Sarah Lemler 6 5 0 24 Nov 2020
Decompounding discrete distributions: A non-parametric Bayesian approach S. Gugushvili Ester Mariucci Frank van der Meulen 16 4 0 26 Mar 2019
Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data Katerina Papagiannouli 9 4 0 15 Mar 2019
On a linear functional for infinitely divisible moving average random fields Stefan Roth 6 0 0 21 Oct 2018
Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps Alexandra Carpentier Céline Duval Ester Mariucci 26 7 0 06 Oct 2018
A solution to a linear integral equation with an application to statistics of infinitely divisible moving averages Jochen Gluck Stefan Roth E. Spodarev 16 2 0 05 Jul 2018
Nonparametric Bayesian inference for Gamma-type Lévy subordinators Denis Belomestny S. Gugushvili Moritz Schauer Peter Spreij 6 8 0 30 Apr 2018
Adaptive nonparametric estimation for compound Poisson processes robust to the discrete-observation scheme Alberto J. Coca 8 8 0 27 Mar 2018
An adaptive procedure for Fourier estimators: illustration to deconvolution and decompounding Céline Duval Johanna Kappus 17 3 0 14 Feb 2018
Wasserstein and total variation distance between marginals of Lévy processes Ester Mariucci M. Reiß 19 28 0 07 Oct 2017
Bernstein -- von Mises theorems for statistical inverse problems II: Compound Poisson processes Richard Nickl Jakob Sohl 11 36 0 22 Sep 2017
An Inverse Problem for Infinitely Divisible Moving Average Random Fields Wolfgang Karcher Stefan Roth E. Spodarev Corinna Walk 21 5 0 26 May 2017
Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations Kengo Kato Daisuke Kurisu 24 14 0 01 May 2017
Spectral-free estimation of Lévy densities in high-frequency regime Céline Duval Ester Mariucci 20 4 0 28 Feb 2017
Uniform confidence bands for nonparametric errors-in-variables regression Kengo Kato Yuya Sasaki 22 17 0 11 Feb 2017
Uniform confidence bands in deconvolution with unknown error distribution Kengo Kato Yuya Sasaki 15 31 0 07 Aug 2016
Nonparametric adaptive estimation for grouped data Céline Duval Johanna Kappus 15 6 0 03 Jun 2016
Efficient nonparametric inference for discretely observed compound Poisson processes Alberto J. Coca 17 20 0 28 Dec 2015
Nonparametric estimation for irregularly sampled Lévy processes Johanna Kappus 16 7 0 18 Nov 2015
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes Denis Belomestny Mathias Trabs 17 12 0 15 Oct 2015
Jump activity estimation for pure-jump semimartingales via self-normalized statistics Viktor Todorov 4 39 0 18 Aug 2015
Nonparametric estimation of mark's distribution of an exponential Shot-noise process Paul Ilhe Eric Moulines François Roueff Antoine Souloumiac 14 10 0 26 Jun 2015
Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale Michael Hoffmann Mathias Vetter 72 8 0 24 Jun 2015
Nonparametric Bayesian inference for multidimensional compound Poisson processes S. Gugushvili Frank van der Meulen Peter Spreij 21 17 0 24 Dec 2014
Statistical Skorohod embedding problem and its generalizations Denis Belomestny J. Schoenmakers 41 2 0 03 Jul 2014
Efficient estimation of integrated volatility in presence of infinite variation jumps J. Jacod Viktor Todorov 32 75 0 29 May 2014
Quantile estimation for Lévy measures Mathias Trabs 32 14 0 27 May 2014
Nonparametric Estimation for Jump-Diffusion CIR Model Wei Xu 31 1 0 15 Oct 2013
High-frequency Donsker theorems for Lévy measures Richard Nickl M. Reiß Jakob Sohl Mathias Trabs 24 25 0 09 Oct 2013
Adaptive nonparametric estimation for Lévy processes observed at low frequency Johanna Kappus 44 37 0 29 Aug 2013
Testing the characteristics of a Lévy process M. Reiß 49 3 0 03 Apr 2013
Adaptive quantile estimation in deconvolution with unknown error distribution I. Dattner M. Reiß Mathias Trabs 54 37 0 07 Mar 2013
Identifying the successive Blumenthal-Getoor indices of a discretely observed process Yacine Ait-Sahalia J. Jacod 37 15 0 24 Sep 2012
Realized Laplace transforms for pure-jump semimartingales Viktor Todorov George Tauchen 63 34 0 24 Jul 2012
Nonparametric estimation of a renewal reward process from discrete data Céline Duval 52 8 0 06 Jul 2012
Adaptive pointwise estimation for pure jump Lévy processes Mélina Bec C. Lacour 32 10 0 21 May 2012
Nonparametric inference on Lévy measures and copulas Axel Bücher Mathias Vetter 66 29 0 02 May 2012
On Non-parametric Estimation of the Lévy Kernel of Markov Processes Florian A. J. Ueltzhofer 35 4 0 17 Apr 2012
Confidence sets in nonparametric calibration of exponential Lévy models Jakob Söhl 63 41 0 29 Feb 2012
A Donsker Theorem for Lévy Measures Richard Nickl M. Reiß 42 9 0 03 Jan 2012
Statistical inference across time scales Céline Duval M. Hoffmann 67 12 0 06 Jun 2011
Estimation for Lévy processes from high frequency data within a long time interval Fabienne Comte V. Genon‐Catalot 90 70 0 12 May 2011
Statistical inference for time-changed Lévy processes via composite characteristic function estimation Denis Belomestny 59 49 0 01 Mar 2010
$Spectral estimation of the fractional order of a Lévy process$ Spectral estimation of the fractional order of a Lévy process Denis Belomestny 87 53 0 12 Jan 2010