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書名 Lévy matters. IV, Estimation for discretely observed Lévy processes / Denis Belomestny, Fabienne Comte, Valentine Genon-Catalot, Hiroki Masuda, Markus Reiss
出版項 Cham [Switzerland] ; New York : Springer, [2015]
國際標準書號 9783319123721
book jacket
館藏地 索書號 處理狀態 OPAC 訊息 條碼
 數學所圖書室  QA3 .L28 no.2128    在架上    30340200540148
說明 xv, 286 pages : illustrations (some color) ; 24 cm
系列 Lecture notes in mathematics, 0075-8434 ; 2128
Lévy matters ; 4
Lecture notes in mathematics (Springer-Verlag) ; 2128
附註 Includes bibliographical references
Estimation and calibration of Lévy models via Fourier methods / Denis Belomestny and Markus Reiss -- Adaptive estimation for Lévy processes / Fabienne Comte and Valentine Genon-Catalot -- Parametric estimation of Lévy processes / Hiroki Masuda
The 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
鏈接 Online version: Belomestny, Denis. Lévy Matters IV. Cham : Springer International Publishing : Imprint: Springer, 2015 9783319123738 (OCoLC)903240060
主題 Lévy processes
Alt Author Belomestny, Denis, author
Reiss, Markus, 1973- author
Comte, Fabienne, author
Genot-Catalot, Valentine, author
Masuda, Hiroki, author
Alt Title Estimation for discretely observed Lévy processes
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