Statistical inference for moving-average L\'evy-driven processes: Fourier-based approach
classification
📊 stat.ME
keywords
processesratesstatisticalapproachaverageconsidercontinuous-timeconvergence
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We consider a new method of the semiparametric statistical estimation for the continuous-time moving average L\'evy processes. We derive the convergence rates of the proposed estimators, and show that these rates are optimal in the minimax sense.
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