Efficient estimation of stable Lévy process with symmetric jumps-Reference-Cited by-同舟云学术

Efficient estimation of stable Lévy process with symmetric jumps

Published:2018-03-14 Issue:2 Volume:21 Page:289-307
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Brouste Alexandre,Masuda Hiroki

Funder

JSPS KAKENHI

JST CREST

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11203-018-9181-0/fulltext.html

Reference26 articles.

1. Aït-Sahalia Y, Jacod J (2008) Fisher’s information for discretely sampled Lévy processes. Econometrica 76(4):727–761

2. Brouste A, Fukasawa M (2016) Local asymptotic normality property for fractional gaussian noise under high-frequency observations. arXiv preprint arXiv:1610.03694 (to appear in Ann Stat)

3. Clément E, Gloter A (2015) Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes. Stoch Process Appl 125(6):2316–2352

4. Cohen S, Gamboa F, Lacaux C, Loubes J-M (2013) LAN property for some fractional type Brownian motion. ALEA Lat Am J Probab Math Stat 10(1):91–106

5. DuMouchel WH (1973) On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution. Ann Stat 1:948–957

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