Local asymptotic normality for the scale parameter of stable processes.

DOI10.1016/S0167-7152(03)00053-1zbMATH Open1116.62326MaRDI QIDQ1423213FDOQ1423213

Authors: Jeannette Woerner 

Publication date: 14 February 2004

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

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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)

Cites Work

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• Asymptotic Statistics
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• Statistical analysis for discretely observed Lévy processes
• Zeroes of Infinitely Divisible Densities
• Asymptotic inference in Levy processes of the discontinuous type

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 \(\delta\) 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 for Student-Lévy processes under high-frequency sampling
• Local asymptotic normality of truncated empirical processes
• 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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