Statistical inference and Malliavin calculus

DOI10.1007/978-3-0348-0021-1_4zbMATH Open1390.60256OpenAlexW2269053998MaRDI QIDQ2904869FDOQ2904869

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

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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)

Cites Work

• Malliavin Monte Carlo Greeks for jump diffusions
• The Malliavin Calculus and Related Topics
• Canonical Lévy process and Malliavin calculus
• Statistical inference for ergodic diffusion processes.
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• Stein estimation of Poisson process intensities
• Superefficient drift estimation on the Wiener space
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Title not available (Why is that?)
• Some classes of global Cramér-Rao bounds

Cited In (8)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Erratum
• Malliavin calculus approach to statistical inference for Lévy driven SDE's
• Title not available (Why is that?)
• Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes
• Title not available (Why is that?)
• Statistical inference using the Morse-Smale complex

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