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Inference on the Lévy measure in case of noisy observations.

Authors :
Vetter, Mathias
Source :
Statistics & Probability Letters. Apr2014, Vol. 87, p125-133. 9p.
Publication Year :
2014

Abstract

Abstract: We discuss inference on the Lévy measure in case of noisy observations. An extension of the pre-averaging method allows for a consistent estimation of the associated spectral function. The asymptotic behaviour of the novel estimator is the same as without noise. [Copyright &y& Elsevier]

Subjects

Subjects :
*MATHEMATICAL statistics
*LEVY processes
*MEASURE theory
*ESTIMATION theory
*SPECTRAL theory
*STATISTICAL association

Details

Language :
English
ISSN :
01677152
Volume :
87
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
94692806
Full Text :
https://doi.org/10.1016/j.spl.2014.01.008
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