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

Cited by 10 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise;Journal of Statistical Planning and Inference;2024-09

2. Speeding up the Training of Neural Networks with the One-Step Procedure;Neural Processing Letters;2024-05-21

3. Asymptotically efficient estimation of Ergodic rough fractional Ornstein-Uhlenbeck process under continuous observations;Statistical Inference for Stochastic Processes;2023-11-21

4. One-step closed-form estimator for generalized linear model with categorical explanatory variables;Statistics and Computing;2023-10-14

5. Optimal stable Ornstein–Uhlenbeck regression;Japanese Journal of Statistics and Data Science;2023-03-13