Local asymptotic normality for the scale parameter of stable processes

Jeannette H. C. Woerner

Statistics & Probability Letters, 2003, vol. 63, issue 1, 61-65

Abstract: We consider stable processes given by the density of the Lévy measure [alpha][gamma]x-1-[gamma], where [gamma][set membership, variant](0,2) denotes the index which is known and [alpha] is the unknown scale parameter. Our aim is to establish local asymptotic normality for the estimation of [alpha], when the process is observed at discrete time points.

Keywords: Local; asymptotic; normality; Stable; process; Discrete; sampling; Efficient; estimators (search for similar items in EconPapers)
Date: 2003
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