On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
DOI10.1016/J.SPL.2010.12.011zbMATH Open1208.62037OpenAlexW2086033980MaRDI QIDQ631555FDOQ631555
Authors: Reiichiro Kawai, Hiroki Masuda 
Publication date: 14 March 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2324/17916
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Cites Work
- Asymptotic Statistics
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- Tempering stable processes
- Processes of Meixner type
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
- Simulation and Estimation of the Meixner Distribution
- Lévy processes, polynomials and martingales
- Asymptotics in statistics: some basic concepts
- Fisher's Information for Discretely Sampled Lvy Processes
- Title not available (Why is that?)
- Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling
- On layered stable processes
Cited In (13)
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
- LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
- Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations
- Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
- Estimating functions for SDE driven by stable Lévy processes
- Local asymptotic normality for Student-Lévy processes under high-frequency sampling
- Uniform LAN property of locally stable Lévy process observed at high frequency
- Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
- On singularity of Fisher information matrix for stochastic processes under high frequency sampling
- Joint estimation for SDE driven by locally stable Lévy processes
- On the likelihood function of small time variance Gamma Lévy processes
- Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
- Fisher information for fractional Brownian motion under high-frequency discrete sampling
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