Nonparametric estimation of the Lévy density
1 décembre 2022 @ 10:45 – 11:45 – We consider the problem of estimating the Lévy density of a pure jump Lévy process, possibly of infinite variation, from the high frequency observation of one trajectory. To directly construct an estimator of the Lévy density, we use a compound Poisson approximation and we build a linear wavelet estimator. Its performance is studied in terms […]