Empirical Likelihood Estimation of Levy Processes (Revised: March 2005)
AbstractWe propose a new parameter estimation procedure for the Levy processes and the class of infinitely divisible distribution. We shall show that the empirical likelihood method gives an easy way to estimate the key parameters of the infinitely divisible distributions including the class of stable distributions as a special case. The maximum empirical likelihood estimator by using the empirical characteristic functions gives the consistency, the asymptotic normality, and the asymptotic efficiency for the key parameters when the number of restrictions on the empirical characteristic functions is large. Test procedures can be also developed. Some extensions to the estimating equations problem with the infinitely divisible distributions are discussed.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-272.
Length: 30 pages
Date of creation: Apr 2004
Date of revision:
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