Non-parametric estimation for pure jump irregularly sampled or noisy Lévy processes
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation for pure jump irregularly sampled or noisy Lévy processes
In this paper, we study nonparametric estimation of the Lévy density for pure jump Lévy processes. We consider n discrete time observations that may be irregularly sampled or possibly corrupted by a small noise independent of the main process. The case of non noisy observations with regular sampling interval has been studied by the authors in previous works which are the benchmark for the exten...
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ژورنال
عنوان ژورنال: Statistica Neerlandica
سال: 2010
ISSN: 0039-0402,1467-9574
DOI: 10.1111/j.1467-9574.2010.00462.x