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https://hdl.handle.net/10419/56623
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Nickl, Richard | en |
dc.contributor.author | Reiß, Markus | en |
dc.date.accessioned | 2012-01-06 | - |
dc.date.accessioned | 2012-04-05T16:12:07Z | - |
dc.date.available | 2012-04-05T16:12:07Z | - |
dc.date.issued | 2012 | - |
dc.identifier.uri | http://hdl.handle.net/10419/56623 | - |
dc.description.abstract | Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, a Donsker-type theorem is proved, that is, a functional central limit theorem for the process in the space of bounded functions away from zero. The limit distribution is a generalised Brownian bridge process with bounded and continuous sample paths whose covariance structure depends on the Fourier-integral operator. The class of Lévy processes covered includes several relevant examples such as compound Poisson, Gamma and self-decomposable processes. Main ideas in the proof include establishing pseudo-locality of the Fourier-integral operator and recent techniques from smoothed empirical processes. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2012-003 | en |
dc.subject.jel | C14 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | uniform central limit theorem | en |
dc.subject.keyword | nonlinear inverse problem | en |
dc.subject.keyword | smoothed empirical processes | en |
dc.subject.keyword | pseudo-differential operators | en |
dc.subject.keyword | jump measure | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Theorie | en |
dc.title | A Donsker theorem for Lévy measures | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 682401943 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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