IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v61y2009i1p181-195.html
   My bibliography  Save this article

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

Author

Listed:
  • Hiroki Masuda

Abstract

No abstract is available for this item.

Suggested Citation

  • Hiroki Masuda, 2009. "Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 181-195, March.
    • Handle: RePEc:spr:aistmt:v:61:y:2009:i:1:p:181-195
    DOI: 10.1007/s10463-007-0131-7
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10463-007-0131-7
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10463-007-0131-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    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;Swedish Statistical Association, vol. 33(4), pages 825-847, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tiefeng Ma & Shuangzhe Liu & S. Ahmed, 2014. "Shrinkage estimation for the mean of the inverse Gaussian population," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(6), pages 733-752, August.
    2. Grzesiek, Aleksandra & Połoczański, Rafał & Kumar, Arun & Wyłomańska, Agnieszka, 2021. "Moment-based estimation for parameters of general inverse subordinator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 575(C).
    3. Kawai, Reiichiro & Masuda, Hiroki, 2011. "On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling," Statistics & Probability Letters, Elsevier, vol. 81(4), pages 460-469, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shibin Zhang & Xinsheng Zhang, 2013. "A least squares estimator for discretely observed Ornstein–Uhlenbeck processes driven by symmetric α-stable motions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 89-103, February.
    2. Shu, Yin & Feng, Qianmei & Liu, Hao, 2019. "Using degradation-with-jump measures to estimate life characteristics of lithium-ion battery," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
    3. Mélina Bec & Claire Lacour, 2015. "Adaptive pointwise estimation for pure jump Lévy processes," Statistical Inference for Stochastic Processes, Springer, vol. 18(3), pages 229-256, October.
    4. Emanuele Taufer, 2008. "Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes," DISA Working Papers 0805, Department of Computer and Management Sciences, University of Trento, Italy, revised 07 Jul 2008.
    5. Kevin W. Lu, 2022. "Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 365-396, July.
    6. Yanfeng Wu & Jianqiang Hu & Xiangyu Yang, 2022. "Moment estimators for parameters of Lévy‐driven Ornstein–Uhlenbeck processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 610-639, July.
    7. Taufer, Emanuele & Leonenko, Nikolai & Bee, Marco, 2011. "Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 55(8), pages 2525-2539, August.
    8. Comte, F. & Genon-Catalot, V., 2009. "Nonparametric estimation for pure jump Lévy processes based on high frequency data," Stochastic Processes and their Applications, Elsevier, vol. 119(12), pages 4088-4123, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:61:y:2009:i:1:p:181-195. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.