Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154772 | Statistics & Probability Letters | 2014 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mathias Vetter,