Parametric estimation of Lévy processes

Hiroki Masuda

    Research output: Contribution to journalArticlepeer-review

    14 Citations (Scopus)


    The main purpose of this chapter is to present some theoretical aspects of parametric estimation of Lévy processes based on high-frequency sampling, with a focus on infinite activity pure-jump models. Asymptotics for several classes of explicit estimating functions are discussed. In addition to the asymptotic normality at several rates of convergence, a uniform tail-probability estimate for statistical random fields is given. As specific cases, we discuss method of moments for the stable Lévy processes in much greater detail, with briefly mentioning locally stable Lévy processes too. Also discussed is, due to its theoretical importance, a brief review of how the classical likelihood approach works or does not, beyond the fact that the likelihood function is not explicit.

    Original languageEnglish
    Pages (from-to)179-286
    Number of pages108
    JournalLecture Notes in Mathematics
    Publication statusPublished - 2015

    All Science Journal Classification (ASJC) codes

    • Algebra and Number Theory


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