@techreport{Kappus2010Estimation,
abstract = {A L\'{e}vy process is observed at time points of distance delta until time T. We construct an estimator of the L\'{e}vy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.},
address = {Berlin},
author = {Johanna Kappus and Markus Rei\ss{}},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G13; C14; 330; L\'{e}vy process; L\'{e}vy-Khinchine characteristics; Nonparametric estimation; Inverse problem; Optimal rates of convergence; Stochastischer Prozess; Sch\"{a}tztheorie; Nichtparametrisches Verfahren; Zeitreihenanalyse},
language = {eng},
number = {2010,015},
publisher = {SFB 649, Economic Risk},
title = {Estimation of the characteristics of a L\'{e}vy process observed at arbitrary frequency},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/39339},
year = {2010}
}
