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most citedBootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations

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stat.ME2018

Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations

Daisuke Kurisu

This study examines a nonparametric inference on a stationary Lévy-driven Ornstein-Uhlenbeck (OU) process with a compound Poisson subordinator. We propose…