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dc.contributor.authorKappus, Johannaen_US
dc.contributor.authorReiß, Markusen_US
dc.date.accessioned2010-04-16en_US
dc.date.accessioned2010-08-26T11:57:38Z-
dc.date.available2010-08-26T11:57:38Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39339-
dc.description.abstractA Lévy process is observed at time points of distance delta 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 delta. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2010,015en_US
dc.subject.jelG13en_US
dc.subject.jelC14en_US
dc.subject.ddc330en_US
dc.subject.keywordLévy processen_US
dc.subject.keywordLévy-Khinchine characteristicsen_US
dc.subject.keywordNonparametric estimationen_US
dc.subject.keywordInverse problemen_US
dc.subject.keywordOptimal rates of convergenceen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwZeitreihenanalyseen_US
dc.titleEstimation of the characteristics of a Lévy process observed at arbitrary frequencyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn623848023en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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