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Autor:
Theopold, Adrian, Vetter, Mathias
We propose a nonparametric estimator of the jump activity index $\beta$ of a pure-jump semimartingale $X$ driven by a $\beta$-stable process when the underlying observations are coming from a high-frequency setting at irregular times. The proposed es
Externí odkaz:
http://arxiv.org/abs/2206.11593
Autor:
Theopold, Adrian, Vetter, Mathias
Publikováno v:
Japanese Journal of Statistics & Data Science; Jun2023, Vol. 6 Issue 1, p457-503, 47p