Local asymptotic normality for the scale parameter of stable processes.

DOI10.1016/S0167-7152(03)00053-1MaRDI QIDQ1423213zbMATH OpenFDO

Authors Jeannette Woerner

Publication date 14 February 2004

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

zbMATH Keywords

estimatorsLocal asymptotic normalityEfficientDiscrete samplingStable process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

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Cites work

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• scientific article; zbMATH DE number 4005332 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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• Asymptotic Statistics
• Asymptotic inference in Levy processes of the discontinuous type
• Statistical analysis for discretely observed Lévy processes
• Zeroes of Infinitely Divisible Densities

Cited in

(9)

• Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach
• Weighted empirical processes in the nonparametric inference for Lévy processes
• Local asymptotic normality in of standard generalized Pareto processes
• LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
• Local asymptotic normality of truncated empirical processes
• Local asymptotic normality for Student-Lévy processes under high-frequency sampling
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• Optimal estimation of the local time and the occupation time measure for an \(\alpha\)-stable Lévy process
• LAN property for an ergodic diffusion with jumps

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