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Lévy Matters

Lévy Matters IV

Estimation for Discretely Observed Lévy Processes

Authors: Belomestny, D., Comte, F., Genon-Catalot, V., Masuda, H., Reiß, M.

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eBook 35,69 €
price for France (gross)
  • ISBN 978-3-319-12373-8
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 47,46 €
price for France (gross)
  • ISBN 978-3-319-12372-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

The aim of this volume is to provide an extensive account of the most recent advances in statistics for discretely observed Lévy processes. These days, statistics for stochastic processes is a lively topic, driven by the needs of various fields of application, such as finance, the biosciences, and telecommunication.

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.

Reviews

“This is a remarkable collection presenting different but important aspects in statistical inference problems for Lévy processes based on discrete observations. The authors of the three chapters have made essential contributions in this area. All three chapters are carefully written and referenced. PhD students and professionals in stochastic modelling will benefit a lot from this volume.” (Jordan M. Stoyanov, zbMATH 1330.60002, 2016)


Table of contents (3 chapters)

  • Estimation and Calibration of Lévy Models via Fourier Methods

    Belomestny, Denis (et al.)

    Pages 1-76

    Preview Buy Chapter 26,32 €
  • Adaptive Estimation for Lévy Processes

    Comte, Fabienne (et al.)

    Pages 77-177

    Preview Buy Chapter 26,32 €
  • Parametric Estimation of Lévy Processes

    Masuda, Hiroki

    Pages 179-286

    Preview Buy Chapter 26,32 €

Buy this book

eBook 35,69 €
price for France (gross)
  • ISBN 978-3-319-12373-8
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 47,46 €
price for France (gross)
  • ISBN 978-3-319-12372-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Lévy Matters IV
Book Subtitle
Estimation for Discretely Observed Lévy Processes
Authors
Series Title
Lévy Matters
Series Volume
2128
Copyright
2015
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-12373-8
DOI
10.1007/978-3-319-12373-8
Softcover ISBN
978-3-319-12372-1
Series ISSN
2190-6637
Edition Number
1
Number of Pages
XV, 286
Number of Illustrations and Tables
7 b/w illustrations, 14 illustrations in colour
Topics