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Journal of Nonparametric Statistics Volume 23, 2011 - Issue 4
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Original Articles

An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations

Florian A.J. Ueltzhöfer Centre for Mathematical Sciences and Institute for Advanced Study, Technische Universität München, Boltzmannstraße 3, 85748, Garching b. München, GermanyCorrespondence[email protected]
&
Claudia Klüppelberg Centre for Mathematical Sciences and Institute for Advanced Study, Technische Universität München, Boltzmannstraße 3, 85748, Garching b. München, Germany
Pages 967-989 | Received 08 Apr 2010, Accepted 11 Apr 2011, Published online: 30 Jun 2011

Citations (11)

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Mark Anthony Caruana. (2019) Non parametric estimation of the measure associated with the Lévy–Khintchine canonical representation. Communications in Statistics - Theory and Methods 48:1, pages 100-111.
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Articles from other publishers (10)

Shota Gugushvili, Frank van der Meulen & Peter Spreij. (2016) A non-parametric Bayesian approach to decompounding from high frequency data. Statistical Inference for Stochastic Processes 21:1, pages 53-79.
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Mark Anthony Caruana. (2017) Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering. Methodology and Computing in Applied Probability 19:4, pages 1211-1225.
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Nathalie Akakpo. (2017) Multivariate intensity estimation via hyperbolic wavelet selection. Journal of Multivariate Analysis 161, pages 32-57.
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Fabienne Comte, Celine Duval, Valentine Genon-Catalot & Johanna Kappus. (2015) Estimation of the Jump Size Density in a Mixed Compound Poisson Process. Scandinavian Journal of Statistics 42:4, pages 1023-1044.
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Mélina Bec & Claire Lacour. (2015) Adaptive pointwise estimation for pure jump Lévy processes. Statistical Inference for Stochastic Processes 18:3, pages 229-256.
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Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda & Markus ReißFabienne Comte & Valentine Genon-Catalot. 2015. Lévy Matters IV. Lévy Matters IV 77 177 .
Fabienne Comte, Céline Duval & Valentine Genon-Catalot. (2013) Nonparametric density estimation in compound Poisson processes using convolution power estimators. Metrika 77:1, pages 163-183.
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Florian A.J. Ueltzhöfer. (2013) On non-parametric estimation of the Lévy kernel of Markov processes. Stochastic Processes and their Applications 123:10, pages 3663-3709.
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Irmingard Eder & Claudia Klüppelberg. (2016) Pareto Lévy Measures and Multivariate Regular Variation. Advances in Applied Probability 44:1, pages 117-138.
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Habib Esmaeili & Claudia Klüppelberg. (2011) Parametric estimation of a bivariate stable Lévy process. Journal of Multivariate Analysis 102:5, pages 918-930.
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