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Working paper

Low frequency estimation of continuous-time moving average Lévy processes

math. arxive. Cornell University, 2016. No. 1607.00896.
Belomestny D., Panov V., Woerner J.
In this paper we study the problem of statistical inference for a continuous time moving average L\'evy process \(Z\) observed at low-frequency. We construct a consistent estimator for the L\'evy triplet of \(Z\), derive its convergence rates and prove their optimality. The performance of our estimation procedure is illustrated by numerical example.