Fisher's Information for Discretely Sampled Levy Processes

Details Fisher's Information for Discretely Sampled Levy Processes Fisher's Information for Discretely Sampled Levy Processes

2004-11-19

arxiv.org/abs/math/0411438v1

Mathematics

Probability

17 novembre 2004

Scientific paper

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.

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