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Workshop “Frontiers of High Dimensional Statistics, Optimization, and Econometrics”
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[Statistical inference for generalized Ornstein - Uhlenbeck processes] В. А. Панов Национальный исследовательский университет "Высшая школа экономики", г. Москва |
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Аннотация: In this talk, we consider a special case of the generalized Ornstein-Uhlenbeck process with invariant distribution given by the exponential functional of a Levy process. We propose a new approach for estimation of the characteristics of the Levy process, which is based on some new results concerning the Mellin transform. Taking into account mixing properties of this process, we show that the rates of convergence are optimal. This is joint work with Denis Belomestny. Язык доклада: английский |
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