2012-02-15Buch DOI: 10.18452/4391
Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes
For a Lévy process X having finite variation on compact sets and finite first moments, µ( dx) = xv( dx) is a finite signed measure which completely describes the jump dynamics. We construct kernel estimators for linear functionals of µ and provide rates of convergence under regularity assumptions. Moreover, we consider adaptive estimation via model selection and propose a new strategy for the data driven choice of the smoothing parameter.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 16, SFB 649 Papers, ISSN:1860-5664
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