Spectral estimation of the Lévy density in partially observed affine models
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Publication:544516
DOI10.1016/j.spa.2011.02.001zbMath1216.62132arXiv0907.4865OpenAlexW1974874561MaRDI QIDQ544516
Publication date: 15 June 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0907.4865
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on general state spaces (60J25) Strong limit theorems (60F15)
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