Threshold Estimation for a Spectrally Negative Lévy Process
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-07-30
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Consider a spectrally negative Lévy process with unknown diffusion coefficient and Lévy measure and suppose that the high frequency trading data is given.
We use the techniques of threshold estimation and regularized Laplace inversion to obtain the estimator of survival probability for a spectrally negative Lévy process.
The asymptotic properties are given for the proposed estimator.
Simulation studies are also given to show the finite sample performance of our estimator.
American Psychological Association (APA)
You, Honglong& Yin, Chuancun. 2020. Threshold Estimation for a Spectrally Negative Lévy Process. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1194490
Modern Language Association (MLA)
You, Honglong& Yin, Chuancun. Threshold Estimation for a Spectrally Negative Lévy Process. Mathematical Problems in Engineering No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1194490
American Medical Association (AMA)
You, Honglong& Yin, Chuancun. Threshold Estimation for a Spectrally Negative Lévy Process. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1194490
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1194490
