On the Local Asymptotic Behavior of the Likelihood Function for Meixner Lévy Processes under High-Frequency Sampling

河合, 玲一郎, 増田, 弘毅

説明

We discuss the local asymptotic behavior of the likelihood function associated with all the four characterizing parameters of the Meixner L’evy process under high-frequency sampling scheme. We derive the optimal rate of convergence for each parameter and the Fisher information matrix in a closed form. The skewness parameter exhibits a slower rate alone, relative to the other three parameters free of sampling rate. An unusual aspect is that the Fisher information matrix is constantly singular for full joint estimation of the four parameters. This is a particular phenomenon in the regular high-frequency sampling setting and is of essentially different nature from low-frequency sampling.

収録刊行物

MI Preprint Series

MI Preprint Series 2010-26 2010-08-08

Faculty of Mathematics, Kyushu University

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詳細情報詳細情報について

CRID: 1050580007682239104

HANDLE: 2324/17916

本文言語コード: en

資料種別: journal article

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