Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56712
Authors: 
Kappus, Johanna
Reiß, Markus
Year of Publication: 
2011
Series/Report no.: 
SFB 649 discussion paper 2011-027
Abstract: 
A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.
Subjects: 
jump process
Lévy measure
deconvolution problem
statistical inverse problem
JEL: 
C14
C22
Document Type: 
Working Paper

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