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2012-02-15Diskussionspapier DOI: 10.18452/4391
Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes
dc.contributor.authorKappus, Johanna
dc.date.accessioned2017-06-16T00:36:42Z
dc.date.available2017-06-16T00:36:42Z
dc.date.created2012-02-23
dc.date.issued2012-02-15
dc.date.submitted2012-02-15
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5043
dc.description.abstractFor 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectAdaptive estimationeng
dc.subjectStatistics of stochastic processeseng
dc.subjectLow frequency observed Lévy processeseng
dc.subjectNonparametric statisticseng
dc.subjectModel selection with unknown varianceeng
dc.subject.ddc330 Wirtschaft
dc.titleNonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100199543
dc.identifier.doihttp://dx.doi.org/10.18452/4391
local.edoc.pages39
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2012
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2012,16

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