Nonparametric estimation for pure jump Lévy processes based on high frequency data-Reference-Cited by-同舟云学术

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Nonparametric estimation for pure jump Lévy processes based on high frequency data

Published:2009-12 Issue:12 Volume:119 Page:4088-4123
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Comte F.,Genon-Catalot V.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference20 articles.

1. Risk bounds for model selection via penalization;Barron;Probab. Theory Relat. Fields.,1999

2. Lévy Processes;Bertoin,1996

3. Minimum contrast estimators on sieves: Exponential bounds and rates of convergence;Birgé;Bernoulli,1998

4. F. Comte, V. Genon-Catalot, Nonparametric adaptive estimation for pure jump Lévy processes, 2008. Preprint MAP5 2008-12

5. Constructive Approximation;DeVore,1993

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