On the Calibration of Lévy Driven Time Series with Coupling Distances and an Application in Paleoclimate

DOI10.1007/978-3-319-39092-5_7zbMath1366.62174OpenAlexW2554883085MaRDI QIDQ5272907

Tetiana Kosenkova, Alexei M. Kulik, Jan M. Gairing, Michael A. Högele

Publication date: 5 July 2017

Published in: Mathematical Paradigms of Climate Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-39092-5_7

zbMATH Keywords

goodness-of-fitlimit theoremsindex of stabilityempirical quantile processempirical Wasserstein distancetime series with heavy tails

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Geostatistics (86A32) Meteorology and atmospheric physics (86A10)

Related Items (3)

Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications ⋮ How close are time series to power tail Lévy diffusions? ⋮ Bistable behaviour of a jump-diffusion driven by a periodic stable-like additive process

Cites Work

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• Coupling distances between Lévy measures and applications to noise sensitivity of SDE
• The Exit Problem from a Neighborhood of the Global Attractor for Dynamical Systems Perturbed by Heavy-Tailed Lévy Processes

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