Adaptive nonparametric estimation for Lévy processes observed at low frequency |
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| Authors: | Johanna Kappus |
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| Affiliation: | Institut für Mathematik, Universität Rostock, 18051 Rostock, Germany |
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| Abstract: | This article deals with adaptive nonparametric estimation for Lévy processes observed at low frequency. For general linear functionals of the Lévy measure, we construct kernel estimators, provide upper risk bounds and derive rates of convergence under regularity assumptions. |
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| Keywords: | Lé vy process Nonparametric estimation Adaptive estimation Deconvolution Model selection |
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