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dc.contributor.authorKappus, Johannaen
dc.date.accessioned2012-02-16-
dc.date.accessioned2012-04-05T16:19:47Z-
dc.date.available2012-04-05T16:19:47Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/56711-
dc.description.abstractFor 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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2012-016en
dc.subject.jelC14en
dc.subject.ddc330en
dc.subject.keywordstatistics of stochastic processesen
dc.subject.keywordlow frequency observed Lévy processesen
dc.subject.keywordnonparametric statisticsen
dc.subject.keywordadaptive estimationen
dc.subject.keywordmodel selection with unknown varianceen
dc.subject.stwStochastischer Prozessen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwTheorieen
dc.titleNonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes-
dc.typeWorking Paperen
dc.identifier.ppn68553586Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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