Estimation of the characteristics of a Lévy process observed at arbitrary frequency
| dc.contributor.author | Kappus, Johanna | |
| dc.contributor.author | Reiß, Markus | |
| dc.date.accessioned | 2017-06-16T00:21:31Z | |
| dc.date.available | 2017-06-16T00:21:31Z | |
| dc.date.created | 2011-07-05 | |
| dc.date.issued | 2011-05-30 | |
| dc.date.submitted | 2011-05-30 | |
| dc.identifier.issn | 1860-5664 | |
| dc.identifier.uri | http://edoc.hu-berlin.de/18452/4969 | |
| dc.description.abstract | A 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.iso | eng | |
| dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
| dc.subject | Jump process | eng |
| dc.subject | Lévy measure | eng |
| dc.subject | deconvolution problem | eng |
| dc.subject | statistical inverse problem | eng |
| dc.subject.ddc | 330 Wirtschaft | |
| dc.title | Estimation of the characteristics of a Lévy process observed at arbitrary frequency | |
| dc.type | workingPaper | |
| dc.identifier.urn | urn:nbn:de:kobv:11-100188855 | |
| dc.identifier.doi | http://dx.doi.org/10.18452/4317 | |
| local.edoc.pages | 17 | |
| local.edoc.type-name | Diskussionspapier | |
| local.edoc.container-type | series | |
| local.edoc.container-type-name | Schriftenreihe | |
| local.edoc.container-year | 2011 | |
| dc.identifier.zdb | 2195055-6 | |
| bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
| bua.series.issuenumber | 2011,27 |
