Woerner, Jeannette H. C.
|Title:||Low-frequency estimation of continuous-time moving average Lévy processes|
|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|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_4616_SFB823_Belomestny_Panov_Woerner.pdf||DNB||660.96 kB||Adobe PDF||View/Open|
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