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000725829 010__ $$a  2014958018
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000725829 0247_ $$a10.1007/978-3-319-12373-8$$2doi
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000725829 08204 $$a519.2$$223
000725829 24500 $$aLévy matters IV$$h[electronic resource] :$$bestimation for discretely observed Lévy processes /$$cDenis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Rei€.
000725829 264_1 $$aCham :$$bSpringer,$$c2015.
000725829 300__ $$a1 online resource (xv, 286 pages) :$$billustrations (some color).
000725829 336__ $$atext$$btxt$$2rdacontent
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000725829 4901_ $$aLecture Notes in Mathematics, Lévy matters,$$x0075-8434 ;$$v2128
000725829 504__ $$aIncludes bibliographical references.
000725829 5050_ $$aEstimation and calibration of Lévy models via Fourier methods -- Adaptive Estimation for Lévy processes -- Parametric estimation of Lévy processes.
000725829 506__ $$aAccess limited to authorized users.
000725829 520__ $$aThe aim of this volume is to provide an extensive account of the most recent advances in statistics for discretely observed Lévy processes. These days, statistics for stochastic processes is a lively topic, driven by the needs of various fields of application, such as finance, the biosciences, and telecommunication. The three chapters of this volume are completely dedicated to the estimation of Lévy processes, and are written by experts in the field. The first chapter by Denis Belomestny and Markus Rei€ treats the low frequency situation, and estimation methods are based on the empirical characteristic function. The second chapter by Fabienne Comte and Valery Genon-Catalon is dedicated to non-parametric estimation mainly covering the high-frequency data case. A distinctive feature of this part is the construction of adaptive estimators, based on deconvolution or projection or kernel methods. The last chapter by Hiroki Masuda considers the parametric situation. The chapters cover the main aspects of the estimation of discretely observed Lévy processes, when the observation scheme is regular, from an up-to-date viewpoint.
000725829 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed March 2, 2015).
000725829 650_0 $$aLévy processes.
000725829 7001_ $$aBelomestny, Denis,$$eauthor.
000725829 77608 $$iPrint version:$$z9783319123721
000725829 830_0 $$aLévy matters ;$$v2128.
000725829 852__ $$bebk
000725829 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-12373-8$$zOnline Access$$91397441.1
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