2 papers
math.ST2022
Spectral bootstrap confidence bands for Lévy-driven moving average processes
D. Belomestny, E. Ivanova, T. Orlova
In this paper we study the problem of constructing bootstrap confidence intervals for the Lévy density of the driving Lévy process based on high-frequency observations of a Lévy-dr…
stat.ME2017
Statistical inference for moving-average Lévy-driven processes: Fourier-based approach
Denis Belomestny, Tatiana Orlova, Vladimir Panov
We consider a new method of the semiparametric statistical estimation for the continuous-time moving average Lévy processes. We derive the convergence rates of the proposed estimat…