Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach

DOI10.1111/stan.12142arXiv1702.02794MaRDI QIDQ6187968

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Publication date: 16 January 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.02794

zbMATH Keywords

Lévy processesmoving averageFourier methodslow-frequency estimation

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Nonparametric inference (62Gxx) Distribution theory (60Exx)

Cites Work

• Estimation for Lévy processes from high frequency data within a long time interval
• Spectral representations of infinitely divisible processes
• Nonparametric inference for discretely sampled Lévy processes
• Estimation and Calibration of Lévy Models via Fourier Methods
• Well-balanced Lévy driven Ornstein–Uhlenbeck processes
• Selected Topics in Characteristic Functions
• Ambit Fields: Survey and New Challenges
• Introduction to nonparametric estimation
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