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Title: | Estimation of Lévy processes via stochastic programming and Kalman filtering |
Authors: | Caruana, Mark Anthony |
Keywords: | Lévy processes Kalman filtering Stochastic programming Stochastic processes |
Issue Date: | 2017 |
Publisher: | Springer |
Citation: | Caruana, M. A. (2017). Estimation of Lévy processes via stochastic programming and Kalman filtering. Methodology and Computing in Applied Probability, 19(4), 1211-1225. |
Abstract: | The estimation of L´evy process has received a lot of attention in recent years. Evidence of this is the extensive amount of literature concerning this problem which can be classified in two categories: the nonparametric approach, and the parametric approach. In this paper, we shall concentrate on the latter, and in particular the parameters will be estimated within a stochastic programming framework. To be more specific, the first derivative of the characteristic function and its empirical version shall be used in objective function. Furthermore, the parameter estimates are recursively estimated by making use of a modified extended Kalman filter (MEKF). Some properties of the parameter estimates are studied. Finally, a number of simulations will be carried out and the results are presented and discussed. |
URI: | https://www.um.edu.mt/library/oar/handle/123456789/89367 |
Appears in Collections: | Scholarly Works - FacSciSOR |
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