Local asymptotic normality for Student-Lévy processes under high-frequency sampling

DOI10.1080/02331888.2019.1618856MaRDI QIDQ5384665zbMATH OpenOpenAlexFDO

Authors Till Massing

Publication date 24 June 2019

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2019.1618856

zbMATH Keywords

local asymptotic normalityhigh-frequency samplingStudent \(t\) distributionMonte Carlo expectation-maximizationLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

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Cited in

(5)

• Simulation of Student-Lévy processes using series representations
• Parameter estimation and random number generation for student Lévy processes
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
• Parametric estimation of tempered stable laws
• On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling

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