Statistical inference and Malliavin calculus

DOI10.1007/978-3-0348-0021-1_4MaRDI QIDQ2904869zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera, Arturo Kohatsu-Higa

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0021-1_4

zbMATH Keywords

Malliavin calculusparametric estimationscore functiondiffusion processesCramer-Rao lower boundjump-diffusion processesLAMN propertyLAN property

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Malliavin calculus approach to statistical inference for Lévy driven SDE's
• A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
• Inference in stochastic processes
• Asymptotic inference for semimartingale models with singular parameter points
• Second derivative of the log-likelihood in the model given by a Lévy driven SDEs

Cites work

• scientific article; zbMATH DE number 797357 (Why is no real title available?)
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• Canonical Lévy process and Malliavin calculus
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Malliavin Monte Carlo Greeks for jump diffusions
• Some classes of global Cramér-Rao bounds
• Statistical inference for ergodic diffusion processes.
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Stein estimation of Poisson process intensities
• Superefficient drift estimation on the Wiener space
• The Malliavin Calculus and Related Topics

Cited in

(8)

• scientific article; zbMATH DE number 4005258 (Why is no real title available?)
• scientific article; zbMATH DE number 926563 (Why is no real title available?)
• Erratum
• Malliavin calculus approach to statistical inference for Lévy driven SDE's
• scientific article; zbMATH DE number 3468723 (Why is no real title available?)
• Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes
• scientific article; zbMATH DE number 6130543 (Why is no real title available?)
• Statistical inference using the Morse-Smale complex

This page was built for publication: Statistical inference and Malliavin calculus

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2904869)