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 |
URI: | http://hdl.handle.net/2003/33643 http://dx.doi.org/10.17877/DE290R-15565 |
Issue Date: | 2014-10-13 |
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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