Aarhus Universitets segl

Low frequency estimation of Lévy-driven moving averages

Publikation: Bidrag til bog/antologi/rapport/proceedingKonferencebidrag i proceedingsForskningpeer review

  • Mikkel Slot Nielsen
In this paper we consider least squares estimation of the driving kernel of a moving average and argue that, under mild regularity conditions and a decay condition on the kernel, the suggested estimator is consistent and asymptotically normal. On one hand this result unifies scattered results of the literature on low frequency estimation of moving averages, and on the other hand it emphasizes the validity of inference also in cases where the moving average is not strongly mixing. We assess the performance of the estimator through a simulation study.
TitelITISE 2019 International Conference on Time Series and Forecasting : Proceedings of Papers
Antal sider11
StatusUdgivet - 2019
BegivenhedInternational Conference on Time Series and Forecasting 2019 - Granada, Spanien
Varighed: 25 sep. 201927 sep. 2019


KonferenceInternational Conference on Time Series and Forecasting 2019

Se relationer på Aarhus Universitet Citationsformater

ID: 180410011