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Working paper

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

stat. arXiv. Cornell University, 2017. No. 1702.02794.
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.