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Communications in Statistics - Theory and Methods Volume 44, 2015 - Issue 6
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Original Articles

A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations

Shibin ZhangDepartment of Mathematics, Shanghai Maritime University, Shanghai, ChinaCorrespondence[email protected]
,
Zhengyan LinDepartment of Mathematics, Zhejiang University, Hangzhou, China
&
Xinsheng ZhangDepartment of Statistics, Fudan University, Shanghai, China
Pages 1111-1129 | Received 08 Jul 2012, Accepted 21 Dec 2012, Published online: 17 Mar 2015

Citations (8)

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Read on this site (2)

S. Rao Jammalamadaka & Emanuele Taufer. (2019) Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes. Communications in Statistics - Simulation and Computation 48:9, pages 2791-2811.
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Qian Yu, Guangjun Shen & Mingxiang Cao. (2017) Parameter estimation for Ornstein–Uhlenbeck processes of the second kind driven by α-stable Lévy motions. Communications in Statistics - Theory and Methods 46:21, pages 10864-10878.
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Articles from other publishers (6)

B. Cooper Boniece & Gustavo Didier. (2022) On operator fractional Lévy motion: integral representations and time-reversibility. Advances in Applied Probability 54:2, pages 493-535.
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B. Cooper Boniece, Gustavo Didier & Farzad Sabzikar. (2020) On Fractional Lévy Processes: Tempering, Sample Path Properties and Stochastic Integration. Journal of Statistical Physics 178:4, pages 954-985.
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B. Cooper Boniece, Herwig Wendt, Gustavo Didier & Patrice Abry. (2019) Wavelet-Based Detection and Estimation of Fractional Lévy Signals in High Dimensions. Wavelet-Based Detection and Estimation of Fractional Lévy Signals in High Dimensions.
B. Cooper Boniece, Gustavo Didier, Herwig Wendt & Patrice Abry. (2019) On Multivariate Non-Gaussian Scale Invariance: Fractional Lévy Processes And Wavelet Estimation. On Multivariate Non-Gaussian Scale Invariance: Fractional Lévy Processes And Wavelet Estimation.
Denis Belomestny, Vladimir Panov & Jeannette H.C. Woerner. (2019) Low-frequency estimation of continuous-time moving average Lévy processes. Bernoulli 25:2.
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Ibrahim Abdelrazeq. (2015) Model verification for Lévy-driven Ornstein–Uhlenbeck processes with estimated parameters. Statistics & Probability Letters 104, pages 26-35.
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