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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/10419/56711
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kappus, Johanna | | en_US |
| dc.date.accessioned | | 2012-02-16 | | en_US |
| dc.date.accessioned | | 2012-04-05T16:19:47Z | | - |
| dc.date.available | | 2012-04-05T16:19:47Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56711 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2012-016 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | statistics of stochastic processes | | en_US |
| dc.subject.keyword | | low frequency observed Lévy processes | | en_US |
| dc.subject.keyword | | nonparametric statistics | | en_US |
| dc.subject.keyword | | adaptive estimation | | en_US |
| dc.subject.keyword | | model selection with unknown variance | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Nichtparametrisches Verfahren | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 68553586X | | 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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