ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

DOI10.1017/S0266466604205060zbMath1071.62071MaRDI QIDQ5696355

Jeanette H. C. Woerner

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling ⋮ Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Reviewing alternative characterizations of Meixner process ⋮ Weighted empirical processes in the nonparametric inference for Lévy processes ⋮ Nonparametric estimation for a class of Lévy processes

Cites Work

• Absolute continuity of infinitely divisible distributions
• Asymptotic inference in Levy processes of the discontinuous type
• Processes of normal inverse Gaussian type
• The normal inverse gaussian lévy process: simulation and approximation

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