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DC Element | Wert | Sprache |
---|---|---|
dc.contributor.author | Belomestny, Denis | - |
dc.contributor.author | Panov, Vladimir | - |
dc.contributor.author | Woerner, Jeannette H. C. | - |
dc.date.accessioned | 2016-09-02T09:00:44Z | - |
dc.date.available | 2016-09-02T09:00:44Z | - |
dc.date.issued | 2016 | - |
dc.identifier.uri | http://hdl.handle.net/2003/35197 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17244 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;46, 2016 | en |
dc.subject | moving average | en |
dc.subject | low-frequency estimation | en |
dc.subject | Mellin transform | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Low-frequency estimation of continuous-time moving average Lévy processes | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_4616_SFB823_Belomestny_Panov_Woerner.pdf | DNB | 660.96 kB | Adobe PDF | Öffnen/Anzeigen |
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