Comte, Fabienne; Genon-Catalot, Valentine - In: Statistics & Risk Modeling 38 (2021) 1-2, pp. 1-24
Abstract We consider a Lévy driven stochastic convolution, also called continuous time Lévy driven moving average model X(t)=\int_{0}^{t}a(t-s)\,dZ(s) , where 𝑍 is a Lévy martingale and the kernel a(\,{.}\,) a deterministic function square integrable on \mathbb{R}^{+} .
Given 𝑁 i.i.d....
