Benutzer: Gast  Login
Titel:

On non-parametric estimation of the Lévy kernel of Markov processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Ueltzhöfer, F.A.J.
Abstract:
We consider a recurrent Markov process which is an Itô semi-martingale. The Lévy kernel describes the law of its jumps. Based on observations X(0) , X(∆), . . . , X(n∆), we construct an estimator for the Lévy kernel’s density. We prove its consistency (as n∆ → ∞ and ∆ → 0) and a central limit theorem. In the positive recurrent case, our estimator is asymptotically normal; in the null recurrent case, it is asymptotically mixed normal. Our estimator’s rate of convergence equals the non-parame...     »
Zeitschriftentitel:
Stochastic Processes and their Applications
Jahr:
2013
Band / Volume:
123
Heft / Issue:
10
Seitenangaben Beitrag:
3663–3709
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1016/j.spa.2013.04.023
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX