Aarhus University Seal / Aarhus Universitets segl

Low frequency estimation of Lévy-driven moving averages

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperConference articleResearchpeer-review

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.
Original languageDanish
JournalProceedings ITISE 2019, 25-27 September, 2019
Number of pages11
Publication statusAccepted/In press - 2019

See relations at Aarhus University Citationformats

ID: 167679721