Nonparametric estimation for a spectrally negative Lévy process based on high frequency data

Honglong You; Chunhao Cai

doi:10.1016/j.cam.2018.06.023

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Nonparametric estimation for a spectrally negative Lévy process based on high frequency data

Honglong You Chunhao Cai

Year: 2018 Journal: Journal of Computational and Applied Mathematics Vol: 345 Pages: 196-205 Publisher: Elsevier BV

DOI: 10.1016/j.cam.2018.06.023

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Keywords:

Mathematics Estimator Rate of convergence Nonparametric statistics Applied mathematics Mean squared error Laplace transform Statistics Kaplan–Meier estimator Mathematical analysis Computer science

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Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Nonparametric estimation for a spectrally negative Lévy process based on high frequency data

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