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Title:Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes PDF Logo
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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