48 citations · 192 across the 16 of their papers we have counts for
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math.ST2014★ 8 cited
Adaptive confidence bands for Markov chains and diffusions: Estimating the invariant measure and the drift
Jakob Söhl, Mathias Trabs
As a starting point we prove a functional central limit theorem for estimators of the invariant measure of a geometrically ergodic Harris-recurrent Markov chain in a multi-scale sp…
math.ST2014★ 11 cited
Quantile estimation for Lévy measures
Mathias Trabs
Generalizing the concept of quantiles to the jump measure of a Lévy process, the generalized quantiles , for , are given by the smallest values such that a jump l…
math.PR2014
On infinitely divisible distributions with polynomially decaying characteristic functions
Mathias Trabs
We provide necessary and sufficient conditions on the characteristics of an infinitely divisible distribution under which its characteristic function decays polynomially. Under…