Authors: Belomestny, Denis
Schoenmakers, John
Title: Statistical skorohod embedding problem and its generalizations
Language (ISO): en
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.
Subject Headings: Skorohod embedding problem
time-changed Levy processes
variance mixture models
Laplace transform
Mellin transform
Levy process
Issue Date: 2014-10-13
Appears in Collections:Sonderforschungsbereich (SFB) 823

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