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math.ST2018
Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
Alexandra Carpentier, Céline Duval, Ester Mariucci
It is common practice to treat small jumps of Lévy processes as Wiener noise and thus to approximate its marginals by a Gaussian distribution. However, results that allow to quanti…
math.ST2018
An adaptive procedure for Fourier estimators: illustration to deconvolution and decompounding
Céline Duval, Johanna Kappus
We introduce a new procedure to select the optimal cutoff parameter for Fourier density estimators that leads to adaptive rate optimal estimators, up to a logarithmic factor. This…