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20132019
most citedBayesian inference for Stable Levy driven Stochastic Differential Equations with high-frequency data

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math.PR2013

Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process

Hiroki Masuda, Nakahiro Yoshida

We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Pois…