On the sample autocovariance of a L\'evy driven moving average process when sampled at a renewal sequence

Autor:	Brandes, Dirk-Philip, Curato, Imma Valentina
Rok vydání:	2018
Předmět:	Mathematics - Probability Mathematics - Statistics Theory 60F05 60G10 62D05
Druh dokumentu:	Working Paper
Popis:	We consider a L\'evy driven continuous time moving average process $X$ sampled at random times which follow a renewal structure independent of $X$. Asymptotic normality of the sample mean, the sample autocovariance, and the sample autocorrelation is established under certain conditions on the kernel and the random times. We compare our results to a classical non-random equidistant sampling method and give an application to parameter estimation of the L\'evy driven Ornstein-Uhlenbeck process. Comment: 27 pages, 4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1804.02254 Zobrazit plný text záznamu View this record from Arxiv