Nonparametric estimation for a class of Lévy processes

  title={Nonparametric estimation for a class of L{\'e}vy processes},
  author={Song Xi Chen and A. Delaigle and Peter F. Hall},
We consider estimation for a class of Levy processes, modelled as a sum of a drift, a symmetric stable process and a compound Poisson process. We propose a nonparametric approach to estimating unknown parameters of our model, including the drift, the scale and index parameters in the stable law, the mean of the Poisson process and the underlying jump size distribution. We show that regression and nonparametric deconvolution methods, based on the empirical characteristic function, can be used… CONTINUE READING


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