Quasi-likelihood analysis for Student-Lévy regression

We consider the quasi-likelihood analysis for a linear regression model driven by a Student- t Lévy process with constant scale and arbitrary degrees of freedom. The model is observed at high frequency over an extending period, under which we can quantify how the sampling frequency affects estimatio...

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Veröffentlicht in:	Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems 2024-10, Vol.27 (3), p.761-794
Hauptverfasser:	Masuda, Hiroki, Mercuri, Lorenzo, Uehara, Yuma
Format:	Artikel
Sprache:	eng
Schlagworte:	Degrees of freedom Mathematics Mathematics and Statistics Parameter estimation Probability Theory and Stochastic Processes Regression models Statistical Theory and Methods Stochastic processes
Online-Zugang:	Volltext
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