FISHER'S INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES

Yacine Aït-Sahalia (1) , Jean Jacod (2)

1 Department of Economics and NBER
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

This paper studies the asymptotic behavior of the Fisher information for a Lévy process discretely sampled at an increasing frequency. We show that it is possible to distinguish not only the continuous part of the process from its jumps part, but also different types of jumps, and derive the rates of convergence of efficient estimators.

Mots clés: Jumps; efficiency; inference; discrete sampling

Domaines: Probabilités [math.PR]

Yacine Aït-Sahalia, Jean Jacod. FISHER'S INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES. 2004. ⟨hal-00003330⟩