Parametric estimation of Lévy processes

研究成果: Contribution to journalArticle査読

9 被引用数 (Scopus)

抄録

The main purpose of this chapter is to present some theoretical aspects of parametric estimation of Lévy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of explicit estimating functions are discussed. In addition to the asymptotic normality at several rates of convergence, a uniform tail-probability estimate for statistical random fields is given. As specific cases, we discuss method of moments for the stable Lévy processes in much greater detail, with briefly mentioning locally stable Lévy processes too. Also discussed is, due to its theoretical importance, a brief review of how the classical likelihood approach works or does not, beyond the fact that the likelihood function is not explicit.

本文言語英語
ページ(範囲)179-286
ページ数108
ジャーナルLecture Notes in Mathematics
2128
DOI
出版ステータス出版済み - 2015

All Science Journal Classification (ASJC) codes

  • 代数と数論

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