On the likelihood function of small time variance Gamma Lévy processes

DOI10.1080/02331888.2014.918980zbMath1369.62043MaRDI QIDQ5263967

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

local asymptotic normality; Fisher information; generalized Laplace distribution; high-frequency sampling; Laplace Lévy motion

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

62F12: Asymptotic properties of parametric estimators

62M09: Non-Markovian processes: estimation

Related Items

Cusping, transport and variance of solutions to generalized Fokker–Planck equations, Optimal statistical inference for subdiffusion processes, Local asymptotic normality for Student-Lévy processes under high-frequency sampling, ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density, 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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
• Asymptotics in statistics: some basic concepts
• Estimation of the Pareto law from underreported data. A further analysis
• Maximizing leave-one-out likelihood for the location parameter of unbounded densities
• Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
• On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling
• Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations
• Estimation for Stochastic Models Driven by Laplace Motion
• On simulation from infinitely divisible distributions
• On the derivatives of the Bessel and Struve functions with respect to the order
• The Variance Gamma Process and Option Pricing
• Multi-scale properties of random walk models of animal movement: lessons from statistical inference
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling