Optimal estimation of the local time and the occupation time measure for an α-stable Lévy process
A novel theoretical result on estimation of the local time and the occupation time measure of an α-stable Lévy process with $\alpha \in (1,2)$ is presented. The approach is based upon computing the conditional expectation of the desired quantities given high frequency data, which is an ${L^{2}}$-opt...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2024-02-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/24-VMSTA243 |