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Statistical inference for moving-average Lévy-driven processes: Fourier-based approach
Published 9 Feb 2017 in stat.ME | (1702.02794v1)
Abstract: We consider a new method of the semiparametric statistical estimation for the continuous-time moving average L\'evy processes. We derive the convergence rates of the proposed estimators, and show that these rates are optimal in the minimax sense.
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