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- W2980366986 abstract "In this paper, we presentLjungdahl, Mathias Mørck a new parametric estimation method for a Lévy moving averagePodolskij, Mark process driven by a symmetric $$alpha $$ -stable Lévy motion L, $$alpha in (0,2)$$ . More specifically, we consider a parametric family of kernel functions $$g_{theta }$$ with $$theta in Theta subseteq mathbb {R}$$ and propose an asymptotically normal estimator of the pair $$(alpha , theta )$$ . The estimation idea is based upon the minimal contrast approach, which compares the empirical characteristic function of the Lévy moving average process with its theoretical counterpart. Our work is related to recent papers (Ljungdahl and Podolskij in A minimal contrast estimator for the linear fractional motion. Working Paper, 2018 [14]; Mazur et al. in Estimation of the linear fractional stable motion. Working Paper, 2018 [16]) that are studying parametric estimation of a linear fractional stable motion." @default.
- W2980366986 created "2019-10-25" @default.
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- W2980366986 date "2019-01-01" @default.
- W2980366986 modified "2023-10-16" @default.
- W2980366986 title "A Note on Parametric Estimation of Lévy Moving Average Processes" @default.
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- W2980366986 doi "https://doi.org/10.1007/978-3-030-28665-1_3" @default.
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