LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
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Cites work
- A characterization of limiting distributions of regular estimates
- Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
- Asymptotics in statistics: some basic concepts
- Fisher's Information for Discretely Sampled Lvy Processes
- scientific article; zbMATH DE number 1598665 (Why is no real title available?)
- scientific article; zbMATH DE number 3917456 (Why is no real title available?)
- scientific article; zbMATH DE number 3936201 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 46016 (Why is no real title available?)
- LAN property for ergodic diffusions with discrete observations
- Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
- Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
- Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
- Markov processes, semigroups and generators.
- Modeling high-frequency financial data by pure jump processes
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- On the existence of smooth densities for jump processes
- On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
- Testing for pure-jump processes for high-frequency data
- The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
- Uniform LAN property of locally stable Lévy process observed at high frequency
- Volatility estimators for discretely sampled Lévy processes
Cited in
(13)- Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
- Joint estimation for SDE driven by locally stable Lévy processes
- 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
- Uniform LAN property of locally stable Lévy process observed at high frequency
- Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
- LAMN property for jump diffusion processes with discrete observations on a fixed time interval
- Hellinger and total variation distance in approximating Lévy driven SDEs
- Parameter estimation for a discrete time model driven by fractional Poisson process
- Estimation of a pure-jump stable Cox-Ingersoll-Ross process
- Local asymptotic properties for the growth rate of a jump-type CIR process
- LAMN property for stable-Lévy SDEs with constant scale coefficient
- LAMN property for hidden processes: the case of integrated diffusions
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