Local asymptotic normality for Student-Lévy processes under high-frequency sampling

DOI10.1080/02331888.2019.1618856zbMath1415.60049OpenAlexW2946773042MaRDI QIDQ5384665

Till Massing

Publication date: 24 June 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2019.1618856

zbMATH Keywords

local asymptotic normalityLévy processhigh-frequency samplingStudent \(t\) distributionMonte Carlo expectation-maximization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Simulation of Student-Lévy processes using series representations

Cites Work

• Lévy matters IV. Estimation for discretely observed Lévy processes
• On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
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• Simulation of Student-Lévy processes using series representations
• On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling
• Uniform LAN property of locally stable L\'{e}vy process observed at high frequency
• On some results of Cufaro Petroni about Student t-processes
• Fisher's Information for Discretely Sampled Lvy Processes
• The ECME algorithm: A simple extension of EM and ECM with faster monotone convergence
• A Note on the Optimal Addition of Abscissas to Quadrature Formulas of Gauss and Lobatto Type
• On the likelihood function of small time variance Gamma Lévy processes
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
• A Simplex Method for Function Minimization
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