Notes on estimating inverse-Gaussian and gamma subordinators under high-frequency sampling |
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Authors: | Hiroki Masuda |
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Institution: | (1) Graduate School of Mathematics, Kyushu University, 6-10-1 Hakozaki, Higashi-ku Fukuoka, 812-8581, Japan |
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Abstract: | We study joint efficient estimation of two parameters dominating either the inverse-Gaussian or gamma subordinator, based
on discrete observations sampled at satisfying as . Under the condition that as we have two kinds of optimal rates, and . Moreover, as in estimation of diffusion coefficient of a Wiener process the -consistent component of the estimator is effectively workable even when T
n
does not tend to infinity. Simulation experiments are given under several h
n
’s behaviors. |
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Keywords: | Efficient estimation Gamma subordinator High-frequency sampling Inverse-Gaussian subordinator Optimal rate |
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