Statistical inference for time-changed Lévy processes via Mellin transform approach

DOI10.1016/j.spa.2016.01.005zbMath1337.60089OpenAlexW2313080539MaRDI QIDQ271884

Denis Belomestny, John G. M. Schoenmakers

Publication date: 20 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.01.005

zbMATH Keywords

Laplace transformMellin transformMonte Carlo simulationstatistical inferencelow-frequency observationstime-changed Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

Related Items (7)

Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus ⋮ Mellin-Meijer kernel density estimation on \(\mathbb{R}^+\) ⋮ Low-frequency estimation of continuous-time moving average Lévy processes ⋮ On the class of distributions of subordinated Lévy processes and bases ⋮ Estimation of stopping times for stopped self-similar random processes ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ Adaptive Laguerre density estimation for mixed Poisson models

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