Estimation of tempered stable Lévy models of infinite variation

DOI10.1007/S11009-022-09940-7zbMath1493.62506arXiv2101.00565OpenAlexW3120749268MaRDI QIDQ2152238

José E. Figueroa-López, Yuchen Han, Ruoting Gong

Publication date: 7 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.00565

zbMATH Keywords

Lévy modelsthreshold estimatormethod of moment estimatorshigh-frequency estimationoptimal parameter tuning

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Non-Markovian processes: estimation (62M09) Actuarial mathematics (91G05)

Cites Work

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