On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling

DOI10.1016/J.SPL.2010.12.011zbMath1208.62037OpenAlexW2086033980MaRDI QIDQ631555

Reiichiro Kawai, Hiroki Masuda

Publication date: 14 March 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2324/17916

zbMATH Keywords

Fisher information matrixhigh-frequency sampling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (10)

Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling ⋮ Joint estimation for SDE driven by locally stable Lévy processes ⋮ Local asymptotic normality for Student-Lévy processes under high-frequency sampling ⋮ Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ Estimating functions for SDE driven by stable Lévy processes ⋮ Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes ⋮ On the likelihood function of small time variance Gamma Lévy processes

Cites Work

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• Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling
• On layered stable processes
• Tempering stable processes
• Asymptotics in statistics: some basic concepts
• Processes of Meixner type
• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Fisher's Information for Discretely Sampled Lvy Processes
• Simulation and Estimation of the Meixner Distribution
• Asymptotic Statistics
• Lévy processes, polynomials and martingales

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