کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527219 | 958741 | 2013 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing the characteristics of a Lévy process
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Testing the characteristics of a Lévy process Testing the characteristics of a Lévy process](/preview/png/10527219.png)
چکیده انگلیسی
For n equidistant observations of a Lévy process at time distance În we consider the problem of testing hypotheses on the volatility, the jump measure and its Blumenthal-Getoor index in a non- or semiparametric manner. Asymptotically as nââ we allow for both, the high-frequency regime În=1n and the low-frequency regime În=1 as well as intermediate cases. The approach via the empirical characteristic function unifies existing theory and sheds new light on diverse results. Particular emphasis is given to asymptotic separation rates which reveal the complexity of these basic, but surprisingly non-standard inference questions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 7, July 2013, Pages 2808-2828
Journal: Stochastic Processes and their Applications - Volume 123, Issue 7, July 2013, Pages 2808-2828
نویسندگان
Markus ReiÃ,