Functional estimation for Lévy measures of semimartingales with Poissonian jumps

研究成果: Article査読

9 被引用数 (Scopus)

抄録

We consider semimartingales with jumps that have finite Lévy measures. The purpose of this article is to estimate integral-type functionals of the Lévy measures from discrete observations. We propose two types of estimators: kernel-type and empirical-type estimators, both of which are obtained by direct discretization from asymptotically efficient estimators of the target based on continuous observations. We show the asymptotic efficiency in the asymptotic minimax sense of our estimators as the sample size tends to infinity and the sampling interval tends to zero.

本文言語English
ページ(範囲)1073-1092
ページ数20
ジャーナルJournal of Multivariate Analysis
100
6
DOI
出版ステータスPublished - 2009 7
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • 数値解析
  • 統計学、確率および不確実性

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