Estimation of Lévy processes via stochastic programming and Kalman filtering

DOI10.1007/S11009-017-9552-9zbMATH Open1387.60079OpenAlexW2592016385MaRDI QIDQ1694516FDOQ1694516

Authors: Mark Anthony Caruana 

Publication date: 2 February 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9552-9

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zbMATH Keywords

characteristic functionKalman filterstochastic programmingLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12)

Cites Work

• Asymptotic Statistics
• Lectures on Stochastic Programming
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric adaptive estimation for pure jump Lévy processes
• Lévy matters IV. Estimation for discretely observed Lévy processes
• Title not available (Why is that?)
• Incremental Least Squares Methods and the Extended Kalman Filter
• Estimation for Lévy processes from high frequency data within a long time interval
• Nonparametric estimation for pure jump Lévy processes based on high frequency data
• Estimating the Parameters of a Differential Process
• Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
• Estimation of the characteristics of a Lévy process
• Spectral calibration of exponential Lévy models
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
• A recursive algorithm for nonlinear least-squares problems
• Central limit theorems for C(S)-valued random variables
• The incremental Gauss-Newton algorithm with adaptive stepsize rule

Cited In (1)

• Estimation and Calibration of Lévy Models via Fourier Methods

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