Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56711 
Autor:innen: 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2012-016
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
statistics of stochastic processes
low frequency observed Lévy processes
nonparametric statistics
adaptive estimation
model selection with unknown variance
JEL: 
C14
Dokumentart: 
Working Paper

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