Nonparametric Estimation for Lévy Models Based on Discrete-Sampling

  title={Nonparametric Estimation for Lévy Models Based on Discrete-Sampling},
  author={Jos{\'e} E. Figueroa-L{\'o}pez},
A Levy model combines a Brownian motion with drift and a purejump homogeneous process such as a compound Poisson process. The estimation of the Levy density, the infinite-dimensional parameter controlling the jump dynamics of the process, is studied under a discrete-sampling scheme. In that case, the jumps are latent variables whose statistical properties can in principle be assessed when the frequency of observations increase to infinity. We propose nonparametric estimators for the Levy… CONTINUE READING

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