Belomestny, DenisPanov, VladimirWoerner, Jeannette H. C.2016-09-022016-09-022016http://hdl.handle.net/2003/3519710.17877/DE290R-17244In 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.enDiscussion Paper / SFB823;46, 2016moving averagelow-frequency estimationMellin transform310330620working paper