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We deal with a family of ergodic Lévy driven stochastic differential equations observed at high-frequency discrete sampling points, where we do not suppose a specific form of the driving Lévy measure,... while the coefficients are known except for finite-dimensional parameters. Our aim is two-fold: first, we derive first-order asymptotic behavior of an M-estimator based on the approximate quadratic martingale estimating function; second, as an application of the estimator obtained, we derive consistent and asymptotically distribution-free test statistics for the normality of the driving Lévy process, based on the self-normalized partial sums of residuals続きを見る
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Mendeley出力
