Parametric Estimation of Lévy Processes

DOI10.1007/978-3-319-12373-8_3zbMath1332.62288arXiv1409.0292OpenAlexW136751101MaRDI QIDQ2786963

Hiroki Masuda

Publication date: 24 February 2016

Published in: Lévy Matters IV (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.0292

zbMATH Keywords

asymptotic normalityLévy processFisher information matrixlikelihood inferenceestimating functionconvergence of moments(locally) stable Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

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