A note on parametric estimation of Lévy moving average processes

DOI10.1007/978-3-030-28665-1_3MaRDI QIDQ2179548zbMATH OpenOpenAlexFDO

Authors Mathias Mørck Ljungdahl, Mark Podolskij

Publication date 13 May 2020

Full work available at URL https://doi.org/10.1007/978-3-030-28665-1_3

zbMATH Keywords

Lévy moving average processesminimal contrast estimationweak limit theorems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Processes with independent increments; Lévy processes (60G51) Point estimation (62F10)

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Cited in

(9)

• A note on the Levenberg-Marquardt parameter
• Low-frequency estimation of continuous-time moving average Lévy processes
• Power variations for fractional type infinitely divisible random fields
• A minimal contrast estimator for the linear fractional stable motion
• A note on the fit for the levy distribution
• Lévy matters IV. Estimation for discretely observed Lévy processes
• Multidimensional parameter estimation of heavy-tailed moving averages
• A least squares estimator for Lévy-driven moving averages based on discrete time observations
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS

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