Abstract

http://ssrn.com/abstract=2027272
 
 

References (32)



 


 



Expansion of Lévy Process Functionals and its Application in Statistical Estimation


Jiti Gao


Monash University - Department of Econometrics & Business Statistics

Chaohua Dong


Monash University - Department of Econometrics and Business Statistics

March, 22 2012


Abstract:     
In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several expansions and rates of convergence are established. In order to state asymptotic distributions for statistical estimators of unknown parameters involved in a general regression model, we develop a general asymptotic theory for partial sums of functionals of Lévy processes. The results show that these estimators of the unknown parameters in different situations converge to quite different random variables. In addition, the rates of convergence depend on various factors rather than just the sample size.

Number of Pages in PDF File: 89

Keywords: expansions, Lévy Process, Orthogonal Series, Statistical Estimation

JEL Classification: C13, C14, C22

working papers series


Download This Paper

Date posted: March 22, 2012  

Suggested Citation

Gao, Jiti and Dong, Chaohua, Expansion of Lévy Process Functionals and its Application in Statistical Estimation (March, 22 2012). Available at SSRN: http://ssrn.com/abstract=2027272 or http://dx.doi.org/10.2139/ssrn.2027272

Contact Information

Jiti Gao (Contact Author)
Monash University - Department of Econometrics & Business Statistics ( email )
900 Dandenong Road
Caulfield East, Victoria 3145
Australia
61399031675 (Phone)
61399032007 (Fax)
HOME PAGE: http://www.jitigao.com

Monash University Business and Economics Logo

Chaohua Dong
Monash University - Department of Econometrics and Business Statistics ( email )
Wellington Road
Victoria, 3145
Australia
Feedback to SSRN


Paper statistics
Abstract Views: 83
Downloads: 12
References:  32

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.312 seconds