LAN property for discretely observed solutions to Lévy driven SDE's

DOI10.15559/VMSTA-2014.1.1.4MaRDI QIDQ486863zbMATH OpenOpenAlexFDO

Authors D. O. Ivanenko, A. M. Kulik

Publication date 16 January 2015

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1308.3089

zbMATH Keywords

likelihood functionLAN propertyregular statistical experimentLévy driven SDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: The LAN property is proved in the statistical model based on discrete-time observations of a solution to a L'{e}vy driven SDE. The proof is based on a general sufficient condition for a statistical model based on a discrete observations of a Markov process to possess the LAN property, and involves substantially the Malliavin calculus-based integral representations for derivatives of log-likelihood of the model.

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Cited in

(7)

• LAN property for some fractional type Brownian motion
• Second derivative of the log-likelihood in the model given by a Lévy driven SDEs
• LAN property for a simple Lévy process
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
• Parameter estimation in models generated by SDEs with symmetric alpha-stable noise
• Malliavin calculus approach to statistical inference for Lévy driven SDE's
• A method for checking efficiency of estimators in statistical models driven by Lévy's noise

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