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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56623
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Nickl, Richard | | en_US |
| dc.contributor.author | | Reiß, Markus | | en_US |
| dc.date.accessioned | | 2012-01-06 | | en_US |
| dc.date.accessioned | | 2012-04-05T16:12:07Z | | - |
| dc.date.available | | 2012-04-05T16:12:07Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56623 | | - |
| dc.description.abstract | | Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, a Donsker-type theorem is proved, that is, a functional central limit theorem for the process in the space of bounded functions away from zero. The limit distribution is a generalised Brownian bridge process with bounded and continuous sample paths whose covariance structure depends on the Fourier-integral operator. The class of Lévy processes covered includes several relevant examples such as compound Poisson, Gamma and self-decomposable processes. Main ideas in the proof include establishing pseudo-locality of the Fourier-integral operator and recent techniques from smoothed empirical processes. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2012-003 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | uniform central limit theorem | | en_US |
| dc.subject.keyword | | nonlinear inverse problem | | en_US |
| dc.subject.keyword | | smoothed empirical processes | | en_US |
| dc.subject.keyword | | pseudo-differential operators | | en_US |
| dc.subject.keyword | | jump measure | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A Donsker theorem for Lévy measures | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 682401943 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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