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- W3136358084 abstract "Abstract In this article we present a parametric estimation method for certain multiparameter heavy‐tailed Lévy‐driven moving averages. The theory relies on recent multivariate central limit theorems obtained via Malliavin calculus on Poisson spaces. Our minimal contrast approach is related to previous papers, which propose to use the marginal empirical characteristic function to estimate the one‐dimensional parameter of the kernel function and the stability index of the driving Lévy motion. We extend their work to allow for a multiparametric framework that in particular includes the important examples of the linear fractional stable motion, the stable Ornstein–Uhlenbeck process, certain CARMA(2, 1) models, and Ornstein–Uhlenbeck processes with a periodic component among other models. We present both the consistency and the associated central limit theorem of the minimal contrast estimator. Furthermore, we demonstrate numerical analysis to uncover the finite sample performance of our method." @default.
- W3136358084 created "2021-03-29" @default.
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- W3136358084 date "2021-05-06" @default.
- W3136358084 modified "2023-09-23" @default.
- W3136358084 title "Multidimensional parameter estimation of heavy‐tailed moving averages" @default.
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- W3136358084 doi "https://doi.org/10.1111/sjos.12527" @default.
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