Drift estimation with non-Gaussian noise using Malliavin calculus

DOI10.1214/15-EJS1101MaRDI QIDQ902228zbMATH OpenOpenAlexFDO

Authors Christian Krein

Publication date 7 January 2016

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1452004957

zbMATH Keywords

Cramer-Rao bounddrift estimationMalliavin calculusRosenblatt processStein estimator

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)

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Cites work

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Cited in

(3)

• The Malliavin gradient method for the calibration of stochastic dynamical models
• Estimation of the drift of Riemann-Liouville fractional Brownian motion
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus

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