Statistical inference for exponential functionals of L\'evy processes
From MaRDI portal
Abstract: In this paper, we consider the exponential functional (A_{infty}=int_0^infty e^{-xi_s}ds) of a L{'e}vy process (xi_s) and aim to estimate the characteristics of (xi_{s}) from the distribution of (A_{infty}). We present a new approach, which allows to statistically infer on the L{'e}vy triplet of (xi_{t}), and study the theoretical properties of the proposed estimators. The suggested algorithms are illustrated with numerical simulations.
This page was built for publication: Statistical inference for exponential functionals of L\'evy processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6247393)
