Kernel estimation for Lévy driven stochastic convolutions

DOI10.1515/strm-2021-0007zbMath1493.62160OpenAlexW3134572709MaRDI QIDQ2063036

Valentine Genon-Catalot, Fabienne Comte

Publication date: 10 January 2022

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2021-0007

zbMATH Keywords

Lévy processesmodel selectionnonparametric estimationstochastic convolutionprojection estimatorscontinuous time moving average

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

Uses Software

• fda (R)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Finite variation of fractional Lévy processes
• Lévy driven moving averages and semimartingales
• Spectral representations of infinitely divisible processes
• Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
• Laguerre and Hermite bases for inverse problems
• Low-frequency estimation of continuous-time moving average Lévy processes
• Concentration around the mean for maxima of empirical processes
• Long memory continuous time models
• Nonparametric estimation for i.i.d. Gaussian continuous time moving average models
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Fractional Lévy processes with an application to long memory moving average processes
• High-frequency sampling and kernel estimation for continuous-time moving average processes
• Electricity spot price modelling with a view towards extreme spike risk
• Well-balanced Lévy driven Ornstein–Uhlenbeck processes
• Lévy Processes and Stochastic Calculus
• Mean Convergence of Expansions in Laguerre and Hermite Series