FISHER'S INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES
Aït-Sahalia, Yacine ; Jacod, Jean
HAL, hal-00003330 / Harvested from HAL
Text on HAL
This paper studies the asymptotic behavior of the Fisher information for a Lévy 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.
Publié le : 2004-11-19
Classification:  Jumps,  efficiency,  inference,  discrete sampling,  AMS: Primary 62F12, 62M05; secondary 60H10, 60J60.,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00003330,
     author = {A\"\i t-Sahalia, Yacine and Jacod, Jean},
     title = {FISHER'S INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00003330}
}

Aït-Sahalia, Yacine; Jacod, Jean. FISHER'S INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00003330/