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

DOI10.15559/VMSTA-2014.1.1.4zbMATH Open1312.60085arXiv1308.3089OpenAlexW2018539684MaRDI QIDQ486863FDOQ486863

Authors: D. O. Ivanenko, A. M. Kulik 

Publication date: 16 January 2015

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

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.

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

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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)

Cited In (7)

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

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