Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process

被引：0

作者：

Masuda, Hiroki ^{[1
]}

Yoshida, Nakahiro ^{[2
]}

机构：

[1] Kyushu Univ, Inst Math Ind, Fukuoka 812, Japan

[2] Univ Tokyo, Grad Sch Math Sci, Tokyo 1138654, Japan

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2013年 / 18卷

关键词：

Edgeworth expansion; mixing property; Levy driven Ornstein-Uhlenbeck process; MODELS;

D O I：

10.1214/ECP.v18-2726

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Poisson space. Due to the special structure of the model, each coefficient of the expansion can be given in a closed form.

引用

页码：1 / 10

页数：10

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