Authors: | Belomestny, Denis Panov, Vladimir Woerner, Jeannette H. C. |
Title: | Low-frequency estimation of continuous-time moving average Lévy processes |
Language (ISO): | en |
Abstract: | In this paper we study the problem of statistical inference for a continuoustime moving average Lévy process of the form Zt=∫ℝκ(t-s)dLs, t∈ℝ with a deterministic kernel κ and a Lévy process L. Especially the estimation of the Lévy measure v of L from low-frequency observations of the process Z is considered. We construct a consistent estimator, derive its convergence rates and illustrate its performance by a numerical example. On the technical level, the main challenge is to establish a kind of exponential mixing for continuous-time moving average Lévy processes. |
Subject Headings: | moving average low-frequency estimation Mellin transform |
URI: | http://hdl.handle.net/2003/35197 http://dx.doi.org/10.17877/DE290R-17244 |
Issue Date: | 2016 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_4616_SFB823_Belomestny_Panov_Woerner.pdf | DNB | 660.96 kB | Adobe PDF | View/Open |
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