Joint estimation for SDE driven by locally stable Lévy processes

DOI10.1214/20-EJS1737zbMath1448.60102OpenAlexW3036674870MaRDI QIDQ2192325

Emmanuelle Clément, Arnaud Gloter

Publication date: 17 August 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1597197615

zbMATH Keywords

stochastic differential equationLévy processstable processestimating functionsparametric inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stable stochastic processes (60G52) Jump processes on general state spaces (60J76)

Related Items (max. 100)

Gaussian quasi-information criteria for ergodic Lévy driven SDE ⋮ Optimal stable Ornstein-Uhlenbeck regression ⋮ On a projection least squares estimator for jump diffusion processes ⋮ Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails

Uses Software

• STABLE

Cites Work

• Unnamed Item
• On simulation of tempered stable random variates
• Modeling high-frequency financial data by pure jump processes
• Absolute continuity for some one-dimensional processes
• Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
• On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
• Discretization of processes.
• Estimating the degree of activity of jumps in high frequency data
• Volatility estimators for discretely sampled Lévy processes
• Uniform asymptotic normality of the maximum likelihood estimator
• Efficient estimation of stable Lévy process with symmetric jumps
• A review of asymptotic theory of estimating functions
• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Estimating functions for SDE driven by stable Lévy processes
• Testing for pure-jump processes for high-frequency data
• Uniform LAN property of locally stable L\'{e}vy process observed at high frequency
• Fisher's Information for Discretely Sampled Lvy Processes
• Numerical calculation of stable densities and distribution functions
• LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process
• Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
• On asymptotics of estimating functions

This page was built for publication: Joint estimation for SDE driven by locally stable Lévy processes