Estimation of the characteristics of a Lévy process observed at arbitrary frequency
نویسندگان
چکیده
A Lévy process is observed at time points of distance ∆ until time T . We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and ∆. Thereby, we encompass the usual lowand high-frequency assumptions and obtain also asymptotics in the mid-frequency regime.
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