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

Hiroki Masuda

    Research output: Contribution to journalArticlepeer-review

    6 Citations (Scopus)

    Abstract

    We study joint efficient estimation of two parameters dominating either the inverse-Gaussian or gamma subordinator, based on discrete observations sampled at (tin)ti=nn satisfying h n : max i≤n(tin) - t i-nn) → 0 as n → ∞. Under the condition that Tn:=tnn → ∞ as n → ∞ we have two kinds of optimal rates, √n and √Tn . Moreover, as in estimation of diffusion coefficient of a Wiener process the √n -consistent component of the estimator is effectively workable even when Tn does not tend to infinity. Simulation experiments are given under several h n's behaviors.

    Original languageEnglish
    Pages (from-to)181-195
    Number of pages15
    JournalAnnals of the Institute of Statistical Mathematics
    Volume61
    Issue number1
    DOIs
    Publication statusPublished - Mar 2009

    All Science Journal Classification (ASJC) codes

    • Statistics and Probability

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