10 citations · 30 across the 9 of their papers we have counts for
15 papers
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…
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…
Non-asymptotic control of the cumulative distribution function of Lévy processes
Céline Duval, Ester Mariucci
We propose non-asymptotic controls of the cumulative distribution function , for any , and any Lévy process such that its Lévy d…
Decompounding discrete distributions: A non-parametric Bayesian approach
Shota Gugushvili, Ester Mariucci, Frank van der Meulen
Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a…
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…
Wasserstein and total variation distance between marginals of Lévy processes
Ester Mariucci, Markus Reiß
We present upper bounds for the Wasserstein distance of order between the marginals of Lévy processes, including Gaussian approximations for jumps of infinite activity. Using t…