Weighted empirical processes in the nonparametric inference for Lvy processes

Date

2009

Authors

Buchmann, Boris

Journal Title

Journal ISSN

Volume Title

Publisher

Allerton Press

Abstract

Given observations of a Lévy process, we provide nonparametric estimators of its Lévy tail and study the asymptotic properties of the corresponding weighted empirical processes. Within a special class of weight functions, we give necessary and sufficien

Description

Keywords

Keywords: bootstrap; confidence bounds; infinite activity; Lévy measure; Lévy processes; Lévy tail; nonparametric inference; Poisson fields; stable process; variance-gamma process; weighted empirical processes; weighted uniform norms

Citation

Source

Mathematical Methods of Statistics

Type

Journal article

Book Title

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DOI

10.3103/S1066530709040012

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