Related papers: Quantile estimation for L\'evy measures
An important family of stochastic processes arising in many areas of applied probability is the class of L\'evy processes. Generally, such processes are not simulatable especially for those with infinite activity. In practice, it is common…
A nonparametric Bayesian approach is developed to determine quantum potentials from empirical data for quantum systems at finite temperature. The approach combines the likelihood model of quantum mechanics with a priori information over…
This paper gives examples of explicit arbitrage-free term structure models with L\'evy jumps via state price density approach. By generalizing quadratic Gaussian models, it is found that the probability density function of a L\'evy process…
We consider estimation of a step function $f$ from noisy observations of a deconvolution $\phi*f$, where $\phi$ is some bounded $L_1$-function. We use a penalized least squares estimator to reconstruct the signal $f$ from the observations,…
In this article, we study the asymptotic behaviour of L\'evy processes with no positive jumps conditioned to stay positive. We establish integral tests for the lower envelope at 0 and at $+\infty$ and an analogue of Khintchin's law of the…
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric $\beta$-stable L\'evy processes, $\beta \in (0,2)$, and certain pure jump semimartingales. The main focus is on derivation of…
The Exponentially Weighted Average (EWA) of observations is known to be state-of-art estimator for tracking expectations of dynamically varying data stream distributions. However, how to devise an EWA estimator to rather track quantiles of…
We consider settings where data are available on a nonparametric function and various partial derivatives. Such circumstances arise in practice, for example in the joint estimation of cost and input functions in economics. We show that when…
We consider the problem of estimating the ensemble average of an observable on an ensemble of equally prepared identical quantum systems. We show that, among all kinds of measurements performed jointly on the copies, the optimal unbiased…
Any method for estimating the ensemble average of arbitrary operator (observables or not, including the density matrix) relates the quantity of interest to a complete set of observables, i.e. a quorum}. This corresponds to an expansion on…
In this paper, we use quantization to construct a nonparametric estimator of conditional quantiles of a scalar response $Y$ given a d-dimensional vector of covariates $X$. First we focus on the population level and show how optimal…
We analyze various jumps for Heston model, non-IID model and three L\'evy jump models for S&P 500 index options. The L\'evy jump for the S&P 500 index options is inevitable from empirical studies. We estimate parameters from in-sample…
For a refracted spectrally negative Levy process, we find some new and fantastic formulas for its q-potential measures without killing. Unlike previous results, which are written in terms of the known q-scale functions, our formulas are…
Quantum scale estimation, as introduced and explored here, establishes the most precise framework for the estimation of scale parameters that is allowed by the laws of quantum mechanics. This addresses an important gap in quantum metrology,…
We construct intrinsic on-and off-diagonal upper and lower estimates for the transition probability density of a L\'evy process in small time. By intrinsic we mean that such estimates reflect the structure of the characteristic exponent of…
In a high-frequency context, we investigate the efficient estimation of scaling and jump activity parameters for a stochastic differential equation driven by a L{\'e}vy process with both diffusion component and pure-jump component. We first…
In this article, the problem of semi-parametric inference on the parameters of a multidimensional L\'{e}vy process $L_t$ with independent components based on the low-frequency observations of the corresponding time-changed L\'{e}vy process…
It is proposed a possible new approach of quantum measurements (QMS), disconnected of the traditional interpretation of uncertainty relations and independent of any appeal to the strange idea of collapse (reduction) of wave functions. The…
The accuracy of least squares calibration using option premiums and particle filtering of price data to find model parameters is determined. Derivative models using exponential L\'evy processes are calibrated using regularized weighted…
We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Levy-type process, we derive a family of asymptotic…