Nonparametric estimation for a class of Lévy processes
一类 Lévy 过程的非参数估计
We consider estimation for a class of Lévy processes, modelled as a sum of a drift, a symmetric stable process and a compound Poisson process. We propose a nonparametric approach to estimating unknown parameters of our model, including the drift, the scale and index parameters in the stable law, the mean of the Poisson process and the underlying jump size distribution. We show that regression and nonparametric deconvolution methods, based on the empirical characteristic…