Statistical inference for moving-average L\'evy-driven processes: Fourier-based approach
Methodology
2017-02-10 v1
Abstract
We consider a new method of the semiparametric statistical estimation for the continuous-time moving average L\'evy processes. We derive the convergence rates of the proposed estimators, and show that these rates are optimal in the minimax sense.
Cite
@article{arxiv.1702.02794,
title = {Statistical inference for moving-average L\'evy-driven processes: Fourier-based approach},
author = {Denis Belomestny and Tatiana Orlova and Vladimir Panov},
journal= {arXiv preprint arXiv:1702.02794},
year = {2017}
}
Comments
23 pages, 4 figures, 3 tables