A note on estimation for gamma and stable processes

DOI10.1093/BIOMET/67.1.234MaRDI QIDQ3860695zbMATH OpenOpenAlexFDO

Authors I. V. Basawa, Peter J. Brockwell

Publication date 1980

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/67.1.234

zbMATH Keywords

additive processgamma processmaximum likelihood estimatorsstable processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Non-Markovian processes: estimation (62M09)

Cited in

(11)

• Asymptotic inference for stochastic processes
• On tail parameter estimation in certain point process models
• Nonparametric inference for discretely sampled Lévy processes
• Inference on the Lévy measure in case of noisy observations
• Vine constructions of Lévy copulas
• Estimation of model parameters of dependent processes constructed using Lévy copulas
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
• Maximum likelihood estimation and the local asymptotic mixed normality in a second-order branching process with continuous state space
• Parametric estimation of a bivariate stable Lévy process
• Lévy copulae for financial returns
• Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling

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