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 $X=(X_t{)}_{t\ge 0}$ with a compound Poisson subordinator. We propose…