Weak dependence and GMM estimation of supOU and mixed moving average processes
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Publication:1722057
DOI10.1214/18-EJS1523zbMath1406.60028arXiv1807.05801MaRDI QIDQ1722057
Imma Valentina Curato, Robert Stelzer
Publication date: 14 February 2019
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05801
stochastic volatilitygeneralized method of momentsweak dependenceLévy basisOrnstein-Uhlenbeck type process
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Stationary stochastic processes (60G10) Random measures (60G57)
Related Items (4)
Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields ⋮ Inference and forecasting for continuous-time integer-valued trawl processes ⋮ Inheritance of strong mixing and weak dependence under renewal sampling ⋮ The multifaceted behavior of integrated supOU processes: the infinite variance case
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