Is Brownian motion necessary to model high-frequency data?
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Publication:605940
DOI10.1214/09-AOS749zbMath1327.62118arXiv1011.2635MaRDI QIDQ605940
Yacine Aït-Sahalia, Jean Jacod
Publication date: 15 November 2010
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.2635
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
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- Fisher's Information for Discretely Sampled Lvy Processes
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