Optimally thresholded realized power variations for Lévy jump diffusion models
نویسندگان
چکیده
منابع مشابه
Optimally Thresholded Realized Power Variations for Lévy Jump Diffusion Models
Abstract: Thresholded Realized Power Variations (TPV) are one of the most popular nonparametric estimators for general continuous-time processes with a wide range of applications. In spite of their popularity, a common drawback lies in the necessity of choosing a suitable threshold for the estimator, an issue which so far has mostly been addressed by heuristic selection methods. We address this...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2013
ISSN: 0304-4149
DOI: 10.1016/j.spa.2013.04.006