Fisher's Information for Discretely Sampled Levy Processes

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dc.creatorAit-Sahalia, Yacine
dc.creatorJacod, Jean
dc.date2004-11-19
dc.date.accessioned2026-07-07T05:14:30Z
dc.date.available2026-07-07T05:14:30Z
dc.descriptionThis 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.
dc.description17 novembre 2004
dc.identifierhttps://arxiv.org/abs/math/0411438
dc.identifierhttp://arxiv.org/abs/math/0411438
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/73299
dc.subjectProbability
dc.subjectAMS: Primary 62F12, 62M05; secondary 60H10, 60J60
dc.titleFisher's Information for Discretely Sampled Levy Processes
dc.typetext

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