Multidimensional parameter estimation of heavy-tailed moving averages

DOI10.1111/SJOS.12527MaRDI QIDQ5043771zbMATH OpenOpenAlexFDO

Authors Mathias Mørck Ljungdahl, Mark Podolskij

Publication date 6 October 2022

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2007.15301

zbMATH Keywords

heavy tailsparametric estimationlimit theoremslow frequencyLévy processes

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Central limit and other weak theorems (60F05)

Abstract: In this paper we present a parametric estimation method for certain multi-parameter heavy-tailed L'evy-driven moving averages. The theory relies on recent multivariate central limit theorems obtained in [3] via Malliavin calculus on Poisson spaces. Our minimal contrast approach is related to the papers [14, 15], which propose to use the marginal empirical characteristic function to estimate the one-dimensional parameter of the kernel function and the stability index of the driving L'evy motion. We extend their work to allow for a multi-parametric framework that in particular includes the important examples of the linear fractional stable motion, the stable Ornstein-Uhlenbeck process, certain CARMA(2, 1) models and Ornstein-Uhlenbeck processes with a periodic component among other models. We present both the consistency and the associated central limit theorem of the minimal contrast estimator. Furthermore, we demonstrate numerical analysis to uncover the finite sample performance of our method.

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Cited in

(2)

• Estimation of mixed fractional stable processes using high-frequency data
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages

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