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DC Field | Value | Language |
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dc.contributor.author | Caruana, Mark Anthony | - |
dc.date.accessioned | 2022-02-17T15:39:06Z | - |
dc.date.available | 2022-02-17T15:39:06Z | - |
dc.date.issued | 2017 | - |
dc.identifier.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. | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/89367 | - |
dc.description.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. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Springer | en_GB |
dc.rights | info:eu-repo/semantics/restrictedAccess | en_GB |
dc.subject | Lévy processes | en_GB |
dc.subject | Kalman filtering | en_GB |
dc.subject | Stochastic programming | en_GB |
dc.subject | Stochastic processes | en_GB |
dc.title | Estimation of Lévy processes via stochastic programming and Kalman filtering | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.identifier.doi | 10.1007/s11009-017-9552-9 | - |
dc.publication.title | Methodology and Computing in Applied Probability | en_GB |
Appears in Collections: | Scholarly Works - FacSciSOR |
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