Fisher's information for discretely sampled lévy processes

Research output: Contribution to journalArticle

36 Scopus citations

Abstract

This paper studies the asymptotic behavior of Fisher's information for a Lévy process discretely sampled at an increasing frequency. As a result, we derive the optimal rates of convergence of efficient estimators of the different parameters of the process and show that the rates are often nonstandard and differ across parameters. We also show that it is possible to distinguish the continuous part of the process from its jumps part, and even different types of jumps from one another.

Original languageEnglish (US)
Pages (from-to)727-761
Number of pages35
JournalEconometrica
Volume76
Issue number4
DOIs
StatePublished - Jul 1 2008

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Keywords

  • Jumps
  • Lévy process
  • Optimal estimation
  • Rate of convergence

Fingerprint Dive into the research topics of 'Fisher's information for discretely sampled lévy processes'. Together they form a unique fingerprint.

Cite this