Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling

DOI10.1007/s10463-007-0131-7zbMath1294.62039MaRDI QIDQ734414

Hiroki Masuda

Publication date: 13 October 2009

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2324/3395

zbMATH Keywords

efficient estimation; optimal rate; high-frequency sampling; gamma subordinator; inverse-Gaussian subordinator

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62F10: Point estimation

62E15: Exact distribution theory in statistics

Related Items

Local asymptotic normality for Student-Lévy processes under high-frequency sampling, Shrinkage estimation for the mean of the inverse Gaussian population, On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling, Moment-based estimation for parameters of general inverse subordinator

Cites Work

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• Inference for gamma and stable processes
• Asymptotic Statistics
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