Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process
Probability
2013-04-10 v1 Statistics Theory
Statistics Theory
Abstract
We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Poisson space. Due to the special structure of the model, the coefficients of the expansion can be given in a closed form.
Cite
@article{arxiv.1304.2456,
title = {Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process},
author = {Hiroki Masuda and Nakahiro Yoshida},
journal= {arXiv preprint arXiv:1304.2456},
year = {2013}
}
Comments
9 pages