Chen, Song X.; Delaigle, Aurore; Hall, Peter - In: Journal of Econometrics 157 (2010) 2, pp. 257-271
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...