Low-frequency estimation of continuous-time moving average Lévy processes

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.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.identifier.uri	http://hdl.handle.net/2003/35197
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-17244
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

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