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dc.contributor.authorRen, Zhaoxia
dc.date.accessioned2013-10-25 17:54:31 (GMT)
dc.date.available2014-06-07 05:00:16 (GMT)
dc.date.issued2013-10-25T17:54:31Z
dc.date.submitted2013
dc.identifier.urihttp://hdl.handle.net/10012/8016
dc.description.abstractIn this thesis, a new method based on characteristic functions is proposed to estimate the jump component in a finite-activity Levy process, which includes the jump frequency and the jump size distribution. Properties of the estimators are investigated, which show that this method does not require high frequency data. The implementation of the method is discussed, and examples are provided. We also perform a comparison which shows that our method has advantages over an existing threshold method. Finally, two applications are included: one is the classification of the increments of the model, and the other is the testing for a change of jump frequency.en
dc.language.isoenen
dc.publisherUniversity of Waterlooen
dc.subjectLevy Processen
dc.subjectJump-Diffusion Processen
dc.subjectEstimationen
dc.subjectTestingen
dc.titleEstimation and Testing of the Jump Component in Levy Processesen
dc.typeDoctoral Thesisen
dc.pendingtrueen
dc.subject.programStatisticsen
dc.description.embargoterms1 yearen
uws-etd.degree.departmentStatistics and Actuarial Scienceen
uws-etd.degreeDoctor of Philosophyen
uws.typeOfResourceTexten
uws.peerReviewStatusUnrevieweden
uws.scholarLevelGraduateen


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