Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Belomestny, Denis | - |
dc.contributor.author | Schoenmakers, John | - |
dc.date.accessioned | 2014-10-13T12:07:01Z | - |
dc.date.available | 2014-10-13T12:07:01Z | - |
dc.date.issued | 2014-10-13 | - |
dc.identifier.uri | http://hdl.handle.net/2003/33643 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15565 | - |
dc.description.abstract | Given a Levy process L, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time T based on i.i.d. sample from LT : Our approach is based on the genuine use of the Mellin and Laplace transforms. We propose a consistent estimator for the density of T; derive its convergence rates and prove their optimality. It turns out that the convergence rates heavily depend on the decay of the Mellin transform of T: We also consider the application of our results to the problem of statistical inference for variance-mean mixture models and for time-changed Levy processes. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;35/2014 | en |
dc.subject | Skorohod embedding problem | en |
dc.subject | time-changed Levy processes | en |
dc.subject | variance mixture models | en |
dc.subject | Laplace transform | en |
dc.subject | Mellin transform | en |
dc.subject | Levy process | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Statistical skorohod embedding problem and its generalizations | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3514_Belomestny_Schoenmakers.pdf | DNB | 476.25 kB | Adobe PDF | View/Open |
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