A method for checking efficiency of estimators in statistical models driven by Lévy’s noise

DOI10.1090/tpms/978zbMath1346.62047OpenAlexW2497521368MaRDI QIDQ2817041

S. V. Bodnarchuk, D. O. Ivanenko

Publication date: 29 August 2016

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/978

zbMATH Keywords

Lévy processesstochastic differential equationsasymptotic efficiencylocal asymptotic normality

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12)

Related Items (1)

Parameter estimation in models generated by SDEs with symmetric alpha-stable noise

Cites Work

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• LAN property for discretely observed solutions to Lévy driven SDE's
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Asymptotics in statistics: some basic concepts
• Markovian bridges: weak continuity and pathwise constructions
• Stochastic control based on time-change transformations for stochastic processes with Lévy noise

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