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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56711
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| Title: | | Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes  |
| Authors: | | Kappus, Johanna |
| Issue Date: | | 2012 |
| Series/Report no.: | | SFB 649 discussion paper 2012-016 |
| Abstract: | | For a Lévy process X having finite variation on compact sets and finite first moments, u (dx) = xv (dx) is a finite signed measure which completely describes the jump dynamics. We construct kernel estimators for linear functionals of u 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. |
| Subjects: | | statistics of stochastic processes low frequency observed Lévy processes nonparametric statistics adaptive estimation model selection with unknown variance |
| JEL: | | C14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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