LAN property for a simple Lévy process (Q467698)
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scientific article; zbMATH DE number 6365767
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| English | LAN property for a simple Lévy process |
scientific article; zbMATH DE number 6365767 |
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LAN property for a simple Lévy process (English)
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4 November 2014
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The authors treat the stochastic process consisting of a standard Brownian motion and a Poisson process with three unknown parameters including intensity. They prove the locally asymptotic normal (LAN) property of the likelihood ratio using the Malliavin calculus on the Wiener space induced by the Brownian motion, which is an extension of the results of \textit{E. Gobet} [Bernoulli 7, No. 6, 899--912 (2001; Zbl 1003.60057); Ann. Inst. Henri Poincaré, Probab. Stat. 38, No. 5, 711--737 (2002; Zbl 1018.60076)]. The LAN is useful for applications to convolution and minimax theorems and deriving lower bounds for the variance of estimators.
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Lévy process
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Brownian motion
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Poisson process
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Malliavin calculus
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likelihood ratio
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0.7993024587631226
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0.7951236367225647
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0.7946318984031677
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0.7808500528335571
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0.7723546028137207
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