Approximation and estimation of scale functions for spectrally negative Levy processes
Statistics Theory
2024-10-25 v2 Statistics Theory
Abstract
The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit representations in general. This paper introduces a novel series representation for this scale function, employing Laguerre polynomials to construct a uniformly convergent approximate sequence. Additionally, we derive statistical inference based on specific discrete observations, presenting estimators of scale functions that are asymptotically normal.
Cite
@article{arxiv.2402.13599,
title = {Approximation and estimation of scale functions for spectrally negative Levy processes},
author = {Haruka Irie and Yasutaka Shimizu},
journal= {arXiv preprint arXiv:2402.13599},
year = {2024}
}