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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.
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.
Includes supplementary material: [...]
Estimation and calibration of Lévy models via Fourier methods.- Adaptive Estimation for Lévy processes.- Parametric estimation of Lévy processes.
| Erscheinungsjahr: | 2014 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Reihe: | Lévy Matters |
| Inhalt: |
xv
286 S. 7 s/w Illustr. 14 farbige Illustr. 286 p. 21 illus. 14 illus. in color. |
| ISBN-13: | 9783319123721 |
| ISBN-10: | 3319123726 |
| Sprache: | Englisch |
| Herstellernummer: | 86383715 |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: |
Belomestny, Denis
Comte, Fabienne Reiß, Markus Masuda, Hiroki Genon-Catalot, Valentine |
| Hersteller: |
Springer International Publishing
Springer International Publishing AG Lévy Matters |
| Maße: | 235 x 155 x 17 mm |
| Von/Mit: | Denis Belomestny (u. a.) |
| Erscheinungsdatum: | 16.12.2014 |
| Gewicht: | 0,464 kg |
Includes supplementary material: [...]
Estimation and calibration of Lévy models via Fourier methods.- Adaptive Estimation for Lévy processes.- Parametric estimation of Lévy processes.
| Erscheinungsjahr: | 2014 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Taschenbuch |
| Reihe: | Lévy Matters |
| Inhalt: |
xv
286 S. 7 s/w Illustr. 14 farbige Illustr. 286 p. 21 illus. 14 illus. in color. |
| ISBN-13: | 9783319123721 |
| ISBN-10: | 3319123726 |
| Sprache: | Englisch |
| Herstellernummer: | 86383715 |
| Ausstattung / Beilage: | Paperback |
| Einband: | Kartoniert / Broschiert |
| Autor: |
Belomestny, Denis
Comte, Fabienne Reiß, Markus Masuda, Hiroki Genon-Catalot, Valentine |
| Hersteller: |
Springer International Publishing
Springer International Publishing AG Lévy Matters |
| Maße: | 235 x 155 x 17 mm |
| Von/Mit: | Denis Belomestny (u. a.) |
| Erscheinungsdatum: | 16.12.2014 |
| Gewicht: | 0,464 kg |
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