Fisher's Information for Discretely Sampled Levy Processes

Preprint

19 November 2004

preprint
Published by arXiv in arXiv

https://doi.org/10.48550/arXiv.math/0411438

Abstract

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.

Keywords

PROCESS FROM ITS JUMPS
RATES OF CONVERGENCE
FISHER'S INFORMATION
DISCRETELY SAMPLED
LEVY PROCESSES
SAMPLED LEVY
BEHAVIOR

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Version 1, 2004-11-19, ArXiv

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