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

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  • Hiroki Masuda

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  • Hiroki Masuda, 2009. "Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 181-195, March.
    • Handle: RePEc:spr:aistmt:v:61:y:2009:i:1:p:181-195
    DOI: 10.1007/s10463-007-0131-7
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    References listed on IDEAS

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    1. Geurt Jongbloed & Frank H. Van Der Meulen, 2006. "Parametric Estimation for Subordinators and Induced OU Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(4), pages 825-847, December.
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    Cited by:

    1. Grzesiek, Aleksandra & Połoczański, Rafał & Kumar, Arun & Wyłomańska, Agnieszka, 2021. "Moment-based estimation for parameters of general inverse subordinator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 575(C).
    2. Kawai, Reiichiro & Masuda, Hiroki, 2011. "On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling," Statistics & Probability Letters, Elsevier, vol. 81(4), pages 460-469, April.
    3. Tiefeng Ma & Shuangzhe Liu & S. Ahmed, 2014. "Shrinkage estimation for the mean of the inverse Gaussian population," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(6), pages 733-752, August.

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