Kawai, Reiichiro; Masuda, Hiroki - In: Statistics & Probability Letters 81 (2011) 4, pp. 460-469
We discuss the local asymptotic behavior of the likelihood function associated with all the four characterizing parameters ([alpha],[beta],[delta],[mu]) of the Meixner Lévy process under high-frequency sampling scheme. We derive the optimal rate of convergence for each parameter and the Fisher...