On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling

DOI10.1016/j.spl.2010.12.011zbMath1208.62037MaRDI QIDQ631555

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

zbMATH Keywords

Fisher information matrix; high-frequency sampling

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

62M09: Non-Markovian processes: estimation

Related Items

Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling, On the likelihood function of small time variance Gamma Lévy processes, Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes, Likelihood ratio gradient estimation for Meixner distribution and Lévy processes, Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling

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