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stat.OT2017
Semiparametric estimation in the normal variance-mean mixture model
Denis Belomestny, Vladimir Panov
In this paper we study the problem of statistical inference on the parameters of the semiparametric variance-mean mixtures. This class of mixtures has recently become rather popula…
stat.OT2013
Statistical inference for exponential functionals of Lévy processes
Denis Belomestny, Vladimir Panov
In this paper, we consider the exponential functional \(A_{\infty}=\int_0^\infty e^{-ξ_s}ds\) of a L{é}vy process \(ξ_s\) and aim to estimate the characteristics of \(ξ_{s}\) from…