Low-frequency estimation of continuous-time moving average Lévy processes
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Publication:1740513
DOI10.3150/17-BEJ1008zbMath1426.62252arXiv1607.00896OpenAlexW2963133306MaRDI QIDQ1740513
Publication date: 30 April 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.00896
Processes with independent increments; Lévy processes (60G51) Non-Markovian processes: estimation (62M09)
Related Items (6)
On a linear functional for infinitely divisible moving average random fields ⋮ Nonparametric estimation for i.i.d. Gaussian continuous time moving average models ⋮ Kernel estimation for Lévy driven stochastic convolutions ⋮ An inverse problem for infinitely divisible moving average random fields ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ Finite Mixture Approximation of CARMA(p,q) Models
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- Well-balanced Lévy driven Ornstein–Uhlenbeck processes
- References
- A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
- Ambit Fields: Survey and New Challenges
- A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
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