On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling-Reference-Cited by-同舟云学术

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

Published:2011-04 Issue:4 Volume:81 Page:460-469
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Kawai Reiichiro,Masuda Hiroki

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference14 articles.

1. Fisher’s information for discretely sampled Lévy processes;Aït-Sahalia;Econometrica,2008

2. Processes of Meixner type;Grigelionis;Lithuanian Mathematical Journal,1999

3. Simulation and estimation of the Meixner distribution;Grigoletto;Communications in Statistics—Simulation and Computation,2009

4. On layered stable processes;Houdré;Bernoulli,2007

5. Kawai, R., 2010. Likelihood ratio gradient estimation for Meixner distribution and Levy processes. Available at:http://sites.google.com/site/reiichirokawai/Home/mxsen.pdf.

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