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2011-05-30Diskussionspapier DOI: 10.18452/4317
Estimation of the characteristics of a Lévy process observed at arbitrary frequency
dc.contributor.authorKappus, Johanna
dc.contributor.authorReiß, Markus
dc.date.accessioned2017-06-16T00:21:31Z
dc.date.available2017-06-16T00:21:31Z
dc.date.created2011-07-05
dc.date.issued2011-05-30
dc.date.submitted2011-05-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4969
dc.description.abstractA Lévy process is observed at time points of distance Δ until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and Δ. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectJump processeng
dc.subjectLévy measureeng
dc.subjectdeconvolution problemeng
dc.subjectstatistical inverse problemeng
dc.subject.ddc330 Wirtschaft
dc.titleEstimation of the characteristics of a Lévy process observed at arbitrary frequency
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100188855
dc.identifier.doihttp://dx.doi.org/10.18452/4317
local.edoc.pages17
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2011
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2011,27

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