Asymptotic theory for estimating the parameters of a Levy process
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Publication:1167500
DOI10.1007/BF02481026zbMath0491.62070OpenAlexW2058981159MaRDI QIDQ1167500
Publication date: 1982
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02481026
consistencyasymptotic normalitymaximum likelihood estimatorsLevy measureLevy process of discontinuous type
Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)
Related Items (4)
Nonparametric inference for discretely sampled Lévy processes ⋮ Weighted empirical processes in the nonparametric inference for Lévy processes ⋮ Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process ⋮ An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
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