Article ID Journal Published Year Pages File Type
1154772 Statistics & Probability Letters 2014 9 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Inference on the Lévy measure in case of noisy observations
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