Kernel estimation for Lévy driven stochastic convolutions

DOI10.1515/STRM-2021-0007MaRDI QIDQ2063036zbMATH OpenOpenAlexFDO

Authors V. Genon-Catalot, F. Comte

Publication date 10 January 2022

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2021-0007

zbMATH Keywords

continuous time moving averageLévy processesmodel selectionnonparametric estimationprojection estimatorsstochastic convolution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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Cites work

• Concentration around the mean for maxima of empirical processes
• Continuous-time ARMA processes
• Electricity spot price modelling with a view towards extreme spike risk
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Finite variation of fractional Lévy processes
• Fractional Lévy processes with an application to long memory moving average processes
• High-frequency sampling and kernel estimation for continuous-time moving average processes
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Laguerre and Hermite bases for inverse problems
• Long memory continuous time models
• Low-frequency estimation of continuous-time moving average Lévy processes
• Lévy driven moving averages and semimartingales
• Lévy Processes and Stochastic Calculus
• Mean Convergence of Expansions in Laguerre and Hermite Series
• Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
• Nonparametric estimation for i.i.d. Gaussian continuous time moving average models
• Spectral representations of infinitely divisible processes
• Well-balanced Lévy driven Ornstein–Uhlenbeck processes

Cited in

(4)

• Nonparametric estimation for i.i.d. Gaussian continuous time moving average models
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• A least squares estimator for Lévy-driven moving averages based on discrete time observations
• Stochastic expansions using continuous dictionaries: Lévy adaptive regression kernels

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Uses Software

• fda (R)

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