Expansion of Lévy Process Functionals and Its Application in Statistical Estimation

Chaohua Dong (chaohua.dong@monash.edu) and Jiti Gao

No 2/12, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several expansions and rates of convergence are established. In order to state asymptotic distributions for statistical estimators of unknown parameters involved in a general regression model, we develop a general asymptotic theory for partial sums of functionals of Lévy processes. The results show that these estimators of the unknown parameters in different situations converge to quite different random variables. In addition, the rates of convergence depend on various factors rather than just the sample size.

Keywords: Expansion; Lévy Process; Orthogonal Series; Statistical Estimation. (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Pages: 89 pages
Date: 2012-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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