Browsing Mathematics (Faculty of) by Author "Ren, Zhaoxia"
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Estimation and Testing of the Jump Component in Levy Processes
Ren, Zhaoxia (University of Waterloo, 2013-10-25)In 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 ...