On Statistical Models for d‐Dimensional Stable Processes, and Some Generalizations

Reinhard Hopfner

Scandinavian Journal of Statistics, 1999, vol. 26, issue 4, 611-620

Abstract: In statistical models where jumps of a d‐dimensional stable process (St)t≥0 are observed in windows with certain asymptotic properties, and where parameters appearing in the Levy measure of S are to be estimated, we have asymptotically efficient estimators. If Poisson random measure μ on (0, ∞) × (Rd\{0}) with intensity dtΛ(dx) replaces the jump measure of S, where Λ is a ε‐finite measure on Rd\{0} admitting tail parameters in a suitable sense, we specify a notion of neighbourhood which allows to treat efficiency in statistical experiments of the second type by switching to accompanying sequences of the stable process type considered first.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:26:y:1999:i:4:p:611-620

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