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_a10.1007/978-3-319-12373-8 _2doi |
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_aBelomestny, Denis. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
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_aLévy Matters IV _h[electronic resource] : _bEstimation for Discretely Observed Lévy Processes / _cby Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Reiß. |
264 | 1 |
_aCham : _bSpringer International Publishing : _bImprint: Springer, _c2015. |
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_aXV, 286 p. 21 illus., 14 illus. in color. _bonline resource. |
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_aonline resource _bcr _2rdacarrier |
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_aLévy Matters, A Subseries on Lévy Processes, _x2190-6637 ; _v2128 |
|
505 | 0 | _aEstimation and calibration of Lévy models via Fourier methods -- Adaptive Estimation for Lévy processes -- Parametric estimation of Lévy processes. | |
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 Reiß 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. | ||
650 | 0 | _aDistribution (Probability theory. | |
650 | 0 | _aStatistics. | |
650 | 0 | _aEconomic theory. | |
650 | 1 | 4 |
_aProbability Theory and Stochastic Processes. _0http://scigraph.springernature.com/things/product-market-codes/M27004 |
650 | 2 | 4 |
_aStatistics for Business, Management, Economics, Finance, Insurance. _0http://scigraph.springernature.com/things/product-market-codes/S17010 |
650 | 2 | 4 |
_aEconomic Theory/Quantitative Economics/Mathematical Methods. _0http://scigraph.springernature.com/things/product-market-codes/W29000 |
700 | 1 |
_aComte, Fabienne. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
|
700 | 1 |
_aGenon-Catalot, Valentine. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
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700 | 1 |
_aMasuda, Hiroki. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
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700 | 1 |
_aReiß, Markus. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
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710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783319123745 |
776 | 0 | 8 |
_iPrinted edition: _z9783319123721 |
830 | 0 |
_aLévy Matters, A Subseries on Lévy Processes, _x2190-6637 ; _v2128 |
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856 | 4 | 0 | _uhttps://doi.org/10.1007/978-3-319-12373-8 |
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