Parameter estimation and random number generation for student Lévy processes

DOI10.1016/J.CSDA.2024.107933zbMATH Open1543.62125MaRDI QIDQ6561272FDOQ6561272

Authors: Shuaiyu Li, Yunpei Wu, Yuzhong Cheng 

Publication date: 25 June 2024

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

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zbMATH Keywords

parametric estimationneural networksquasi maximum likelihood estimationLévy processCNN-LSTM

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• On the computer generation of random variables with a given characteristic function
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• Asymptotic Statistics
• Fast unfolding of communities in large networks
• Nonparametric estimation for Lévy processes from low-frequency observations
• Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions
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• Asymptotic properties of the partition function and applications in tail index inference of heavy-tailed data
• Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise
• The estimation of parameters for stochastic differential equations using neural networks
• Mixtures in nonstable Lévy processes
• Simulation of Student-Lévy processes using series representations
• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
• A review of recurrent neural networks: LSTM cells and network architectures

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