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 SizeFormat 
DP_4616_SFB823_Belomestny_Panov_Woerner.pdfDNB660.96 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.