2 papers
math.ST2024
Adaptive minimax estimation for discretely observed Lévy processes
Céline Duval, Taher Jalal, Ester Mariucci
In this paper, we study the nonparametric estimation of the density of an increment of a Lévy process based on observations with a sampling rate . The class of Lév…
math.ST2024
Nonparametric density estimation for the small jumps of Lévy processes
Céline Duval, Taher Jalal, Ester Mariucci
We consider the problem of estimating the density of the process associated with the small jumps of a pure jump Lévy process, possibly of infinite variation, from discrete observat…