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Regular version of the site

Article

Statistical inference for moving-average Lévy-driven processes: Fourier-based approach

Statistica Neerlandica. 2019. Vol. 1. P. 100-117.
Belomestny D., Orlova T., Panov V.

We consider a new method of semiparametric statistical
estimation for the continuous-time moving-average Lévy
processes. We derive the convergence rates of the proposed
estimators and show that these rates are optimal in
minimax sense.