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dc.contributor.authorBelomestny, Denis-
dc.contributor.authorPanov, Vladimir-
dc.contributor.authorWoerner, Jeannette H. C.-
dc.date.accessioned2016-09-02T09:00:44Z-
dc.date.available2016-09-02T09:00:44Z-
dc.date.issued2016-
dc.identifier.urihttp://hdl.handle.net/2003/35197-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-17244-
dc.description.abstractIn 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.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;46, 2016en
dc.subjectmoving averageen
dc.subjectlow-frequency estimationen
dc.subjectMellin transformen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleLow-frequency estimation of continuous-time moving average Lévy processesen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 823

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