Malliavin Calculus Approach to Statistical Inference for Lévy Driven SDE’s

被引：0
|
作者：
D. O. Ivanenko
A. M. Kulik
机构：
[1] Kyiv National Taras Shevchenko University,Institute of Mathematics
[2] Ukrainian National Academy of Sciences,undefined
来源：
Methodology and Computing in Applied Probability | 2015年 / 17卷
关键词：
Malliavin calculus; Likelihood function; Lévy driven SDE; Regular statistical experiment; Cramer-Rao inequality; 60J75; 60H07; 62F12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation dXt = aθ(Xt)dt + dZt with a Lévy process Z. Using these representations, regularity of the statistical experiment and the Cramer-Rao inequality are proved.
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页码：107 / 123
页数：16
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