On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling

DOI10.1007/978-3-642-33134-3_87zbMath1267.62087OpenAlexW1876420127MaRDI QIDQ2838571

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Publication date: 10 July 2013

Published in: Numerical Mathematics and Advanced Applications 2011 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33134-3_87

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Statistical aspects of information-theoretic topics (62B10)

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Optimal statistical inference for subdiffusion processes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Local asymptotic normality for Student-Lévy processes under high-frequency sampling ⋮ Anomalous spreading and misidentification of spatial random walk models ⋮ On the likelihood function of small time variance Gamma Lévy processes

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