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  3. 0709.2007
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Nonparametric estimation for Lévy processes from low-frequency
  observations
v1v2 (latest)

Nonparametric estimation for Lévy processes from low-frequency observations

13 September 2007
Michael H. Neumann
M. Reiß
ArXiv (abs)PDFHTML

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

47 / 47 papers shown
Multiplicative deconvolution under unknown error distribution
Multiplicative deconvolution under unknown error distributionElectronic Journal of Statistics (EJS), 2023
S. Miguel
Jan Johannes
Maximilian Siebel
212
3
0
16 Aug 2023
Estimating a multivariate Lévy density based on discrete observations
Estimating a multivariate Lévy density based on discrete observations
Maximilian F. Steffen
272
0
0
23 May 2023
A Lepskiĭ-type stopping rule for the covariance estimation of
  multi-dimensional Lévy processes
A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes
Katerina Papagiannouli
151
0
0
25 Nov 2020
On the nonparametric inference of coefficients of self-exciting
  jump-diffusion
On the nonparametric inference of coefficients of self-exciting jump-diffusionElectronic Journal of Statistics (EJS), 2020
Chiara Amorino
Charlotte Dion
A. Gloter
Sarah Lemler
654
6
0
24 Nov 2020
Decompounding discrete distributions: A non-parametric Bayesian approach
Decompounding discrete distributions: A non-parametric Bayesian approach
S. Gugushvili
Ester Mariucci
Frank van der Meulen
360
5
0
26 Mar 2019
On a linear functional for infinitely divisible moving average random
  fields
On a linear functional for infinitely divisible moving average random fields
Stefan Roth
161
0
0
21 Oct 2018
Total variation distance for discretely observed Lévy processes: a
  Gaussian approximation of the small jumps
Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
Alexandra Carpentier
Céline Duval
Ester Mariucci
200
7
0
06 Oct 2018
A solution to a linear integral equation with an application to
  statistics of infinitely divisible moving averages
A solution to a linear integral equation with an application to statistics of infinitely divisible moving averagesScandinavian Journal of Statistics (Scand. J. Stat.), 2018
Jochen Gluck
Stefan Roth
E. Spodarev
393
2
0
05 Jul 2018
Nonparametric Bayesian inference for Gamma-type Lévy subordinators
Nonparametric Bayesian inference for Gamma-type Lévy subordinators
Denis Belomestny
S. Gugushvili
Moritz Schauer
Peter Spreij
301
10
0
30 Apr 2018
Adaptive nonparametric estimation for compound Poisson processes robust
  to the discrete-observation scheme
Adaptive nonparametric estimation for compound Poisson processes robust to the discrete-observation scheme
Alberto J. Coca
238
8
0
27 Mar 2018
Wasserstein and total variation distance between marginals of Lévy
  processes
Wasserstein and total variation distance between marginals of Lévy processes
Ester Mariucci
M. Reiß
453
34
0
07 Oct 2017
Bernstein -- von Mises theorems for statistical inverse problems II:
  Compound Poisson processes
Bernstein -- von Mises theorems for statistical inverse problems II: Compound Poisson processes
Richard Nickl
Jakob Sohl
295
36
0
22 Sep 2017
An Inverse Problem for Infinitely Divisible Moving Average Random Fields
An Inverse Problem for Infinitely Divisible Moving Average Random Fields
Wolfgang Karcher
Stefan Roth
E. Spodarev
Corinna Walk
302
5
0
26 May 2017
Bootstrap confidence bands for spectral estimation of Lévy densities
  under high-frequency observations
Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations
Kengo Kato
Daisuke Kurisu
517
15
0
01 May 2017
Spectral-free estimation of Lévy densities in high-frequency regime
Spectral-free estimation of Lévy densities in high-frequency regime
Céline Duval
Ester Mariucci
364
8
0
28 Feb 2017
Uniform confidence bands for nonparametric errors-in-variables
  regression
Uniform confidence bands for nonparametric errors-in-variables regressionJournal of Econometrics (JE), 2017
Kengo Kato
Yuya Sasaki
530
23
0
11 Feb 2017
Uniform confidence bands in deconvolution with unknown error
  distribution
Uniform confidence bands in deconvolution with unknown error distribution
Kengo Kato
Yuya Sasaki
493
38
0
07 Aug 2016
Nonparametric adaptive estimation for grouped data
Nonparametric adaptive estimation for grouped data
Céline Duval
Johanna Kappus
135
6
0
03 Jun 2016
Efficient nonparametric inference for discretely observed compound
  Poisson processes
Efficient nonparametric inference for discretely observed compound Poisson processes
Alberto J. Coca
597
21
0
28 Dec 2015
Low-rank diffusion matrix estimation for high-dimensional time-changed
  Lévy processes
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
Denis Belomestny
Mathias Trabs
291
12
0
15 Oct 2015
Jump activity estimation for pure-jump semimartingales via
  self-normalized statistics
Jump activity estimation for pure-jump semimartingales via self-normalized statistics
Viktor Todorov
165
43
0
18 Aug 2015
Nonparametric estimation of mark's distribution of an exponential
  Shot-noise process
Nonparametric estimation of mark's distribution of an exponential Shot-noise process
Paul Ilhe
Eric Moulines
François Roueff
Antoine Souloumiac
279
13
0
26 Jun 2015
Weak convergence of the empirical truncated distribution function of the
  Lévy measure of an Itō semimartingale
Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
Michael Hoffmann
Mathias Vetter
264
9
0
24 Jun 2015
Nonparametric Bayesian inference for multidimensional compound Poisson
  processes
Nonparametric Bayesian inference for multidimensional compound Poisson processes
S. Gugushvili
Frank van der Meulen
Peter Spreij
258
18
0
24 Dec 2014
Statistical Skorohod embedding problem and its generalizations
Statistical Skorohod embedding problem and its generalizations
Denis Belomestny
J. Schoenmakers
212
2
0
03 Jul 2014
Efficient estimation of integrated volatility in presence of infinite
  variation jumps
Efficient estimation of integrated volatility in presence of infinite variation jumps
J. Jacod
Viktor Todorov
214
80
0
29 May 2014
Quantile estimation for Lévy measures
Quantile estimation for Lévy measures
Mathias Trabs
531
15
0
27 May 2014
High-frequency Donsker theorems for Lévy measures
High-frequency Donsker theorems for Lévy measures
Richard Nickl
M. Reiß
Jakob Sohl
Mathias Trabs
384
27
0
09 Oct 2013
Adaptive nonparametric estimation for Lévy processes observed at low
  frequency
Adaptive nonparametric estimation for Lévy processes observed at low frequency
Johanna Kappus
257
37
0
29 Aug 2013
Testing the characteristics of a Lévy process
Testing the characteristics of a Lévy process
M. Reiß
332
3
0
03 Apr 2013
Adaptive quantile estimation in deconvolution with unknown error
  distribution
Adaptive quantile estimation in deconvolution with unknown error distribution
I. Dattner
M. Reiß
Mathias Trabs
443
40
0
07 Mar 2013
Identifying the successive Blumenthal-Getoor indices of a discretely
  observed process
Identifying the successive Blumenthal-Getoor indices of a discretely observed process
Yacine Ait-Sahalia
J. Jacod
372
16
0
24 Sep 2012
Realized Laplace transforms for pure-jump semimartingales
Realized Laplace transforms for pure-jump semimartingales
Viktor Todorov
George Tauchen
237
35
0
24 Jul 2012
Nonparametric estimation of a renewal reward process from discrete data
Nonparametric estimation of a renewal reward process from discrete data
Céline Duval
252
8
0
06 Jul 2012
Adaptive pointwise estimation for pure jump Lévy processes
Adaptive pointwise estimation for pure jump Lévy processesStatistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems (SISP), 2012
Mélina Bec
C. Lacour
341
10
0
21 May 2012
Nonparametric inference on Lévy measures and copulas
Nonparametric inference on Lévy measures and copulas
Axel Bücher
Mathias Vetter
454
26
0
02 May 2012
On Non-parametric Estimation of the Lévy Kernel of Markov Processes
On Non-parametric Estimation of the Lévy Kernel of Markov Processes
Florian A. J. Ueltzhofer
250
4
0
17 Apr 2012
Confidence sets in nonparametric calibration of exponential Lévy
  models
Confidence sets in nonparametric calibration of exponential Lévy modelsFinance and Stochastics (Fin. Stoch.), 2012
Jakob Söhl
404
42
0
29 Feb 2012
Statistical inference across time scales
Statistical inference across time scales
Céline Duval
M. Hoffmann
322
12
0
06 Jun 2011
Estimation for Lévy processes from high frequency data within a long
  time interval
Estimation for Lévy processes from high frequency data within a long time interval
Fabienne Comte
V. Genon‐Catalot
293
71
0
12 May 2011
Statistical inference for time-changed Lévy processes via composite
  characteristic function estimation
Statistical inference for time-changed Lévy processes via composite characteristic function estimation
Denis Belomestny
599
50
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
450
57
0
12 Jan 2010
Nonparametric inference for discretely sampled Lévy processes
Nonparametric inference for discretely sampled Lévy processes
S. Gugushvili
638
43
0
21 Aug 2009
Nonparametric estimation of the characteristic triplet of a discretely
  observed Lévy process
Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
S. Gugushvili
521
53
0
22 Jul 2008
Nonparametric adaptive estimation for pure jump Lévy processes
Nonparametric adaptive estimation for pure jump Lévy processes
Fabienne Comte
V. Genon‐Catalot
258
79
0
20 Jun 2008
Measuring the roughness of random paths by increment ratios
Measuring the roughness of random paths by increment ratios
Jean‐Marc Bardet
D. Surgailis
685
46
0
04 Feb 2008
Decompounding under Gaussian noise
Decompounding under Gaussian noise
S. Gugushvili
583
10
0
05 Nov 2007
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