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
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

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