LAN property for a simple Lévy process

DOI10.1016/j.crma.2014.08.013zbMath1306.60048arXiv1402.4956OpenAlexW2066861308MaRDI QIDQ467698

Eulalia Nualart, Ngoc Khue Tran, Arturo Kohatsu-Higa

Publication date: 4 November 2014

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.4956

zbMATH Keywords

Brownian motionMalliavin calculuslikelihood ratioPoisson processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

LAN property for an ergodic diffusion with jumps, LAMN property for jump diffusion processes with discrete observations on a fixed time interval, Estimating functions for jump-diffusions

Cites Work

• Asymptotic lower bounds in estimating jumps
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• LAMN property for hidden processes: the case of integrated diffusions
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• LAN property for ergodic diffusions with discrete observations
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• Fisher's Information for Discretely Sampled Lvy Processes