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

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Cites Work

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Asymptotic Statistics
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
Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling
On layered stable processes

Cited In (11)

Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling
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
Local asymptotic normality for normal inverse Gaussian Lévy processes with 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
LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process

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