We study joint efficient estimation of two parameters dominating either the inverse-Gaussian or gamma subordinator, based on discrete observations sampled at (tin)ti=nn satisfying h n : max i≤n(tin) - t i-nn) → 0 as n → ∞. Under the condition that Tn:=tnn → ∞ as n → ∞ we have two kinds of optimal rates, √n and √Tn . Moreover, as in estimation of diffusion coefficient of a Wiener process the √n -consistent component of the estimator is effectively workable even when Tn does not tend to infinity. Simulation experiments are given under several h n's behaviors.
|Number of pages||15|
|Journal||Annals of the Institute of Statistical Mathematics|
|Publication status||Published - Mar 2009|
All Science Journal Classification (ASJC) codes
- Statistics and Probability