Statistical skorohod embedding problem and its generalizations

dc.contributor.author	Belomestny, Denis
dc.contributor.author	Schoenmakers, John
dc.date.accessioned	2014-10-13T12:07:01Z
dc.date.available	2014-10-13T12:07:01Z
dc.date.issued	2014-10-13
dc.description.abstract	Given a Levy process L, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time T based on i.i.d. sample from LT : Our approach is based on the genuine use of the Mellin and Laplace transforms. We propose a consistent estimator for the density of T; derive its convergence rates and prove their optimality. It turns out that the convergence rates heavily depend on the decay of the Mellin transform of T: We also consider the application of our results to the problem of statistical inference for variance-mean mixture models and for time-changed Levy processes.	en
dc.identifier.uri	http://hdl.handle.net/2003/33643
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15565
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;35/2014	en
dc.subject	Skorohod embedding problem	en
dc.subject	time-changed Levy processes	en
dc.subject	variance mixture models	en
dc.subject	Laplace transform	en
dc.subject	Mellin transform	en
dc.subject	Levy process	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Statistical skorohod embedding problem and its generalizations	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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