Malliavin calculus approach to statistical inference for Levy driven SDE's
Probability
2013-08-13 v2
Abstract
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 dX_t=a_\theta(X_t)dt + dZ_t with a tempered \alpha-stable process Z. Using these representations, regularity of the statistical experiment and the Cramer-Rao inequality are proved.
Keywords
Cite
@article{arxiv.1301.5141,
title = {Malliavin calculus approach to statistical inference for Levy driven SDE's},
author = {D. O. Ivanenko and A. M. Kulik},
journal= {arXiv preprint arXiv:1301.5141},
year = {2013}
}