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Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling

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Author Info
Hiroki Masuda ()
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File URL: http://hdl.handle.net/10.1007/s10463-007-0131-7
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Publisher Info
Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 61 (2009)
Issue (Month): 1 (March)
Pages: 181-195
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Handle: RePEc:spr:aistmt:v:61:y:2009:i:1:p:181-195

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Related research
Keywords: Efficient estimation; Gamma subordinator; High-frequency sampling; Inverse-Gaussian subordinator; Optimal rate;

References listed on IDEAS
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  1. Geurt Jongbloed & Frank H. Van Der Meulen, 2006. "Parametric Estimation for Subordinators and Induced OU Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 33(4), pages 825-847. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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