Weighted empirical processes in the nonparametric inference for Lvy processes

Buchmann, Boris

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Weighted empirical processes in the nonparametric inference for Lvy processes

Date

2009

Authors

Buchmann, Boris

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