On the likelihood function of small time variance Gamma Lévy processes

DOI10.1080/02331888.2014.918980zbMATH Open1369.62043OpenAlexW1990072139MaRDI QIDQ5263967FDOQ5263967

Reiichiro Kawai

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2014.918980

zbMATH Keywords

Fisher informationgeneralized Laplace distributionlocal asymptotic normalityhigh-frequency samplingLaplace Lévy motion

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

Cites Work

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• Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
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• Maximizing leave-one-out likelihood for the location parameter of unbounded densities
• On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling

Cited In (8)

• Time-squeezing and time-expanding transformations in harmonic force fields
• Maximum leave-one-out likelihood method for the location parameter of variance gamma distribution with unbounded density
• ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
• Optimal statistical inference for subdiffusion processes
• ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
• Cusping, transport and variance of solutions to generalized Fokker–Planck equations
• Local asymptotic normality for Student-Lévy processes under high-frequency sampling
• Title not available (Why is that?)

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