Fisher's Information for Discretely Sampled Levy Processes

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

This paper studies the asymptotic behavior of the Fisher information for a Levy process discretely sampled at an increasing frequency. We show that it is possible to distinguish not only the continuous part of the process from its jumps part, but also different types of jumps, and derive the rates of convergence of efficient estimators.
17 novembre 2004

Keywords

Probability, AMS: Primary 62F12, 62M05; secondary 60H10, 60J60

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/73299

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0411438
 http://arxiv.org/abs/math/0411438

Collections

arXiv