{"paper":{"title":"Statistical inference for exponential functionals of L\\'evy processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"stat.OT","authors_text":"Denis Belomestny, Vladimir Panov","submitted_at":"2013-12-17T11:51:36Z","abstract_excerpt":"In this paper, we consider the exponential functional \\(A_{\\infty}=\\int_0^\\infty e^{-\\xi_s}ds\\) of a L{\\'e}vy process \\(\\xi_s\\) and aim to estimate the characteristics of \\(\\xi_{s}\\) from the distribution of \\(A_{\\infty}\\). We present a new approach, which allows to statistically infer on the L{\\'e}vy triplet of \\(\\xi_{t}\\), and study the theoretical properties of the proposed estimators. The suggested algorithms are illustrated with numerical simulations."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1312.4731","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}