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

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

The LAN property is proved in the statistical model based on discrete-time observations of a solution to a Lévy driven SDE. The proof is based on a general sufficient condition for a statistical model based on discrete observations of a Markov process to possess the LAN property, and involves substa...

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Bibliographic Details
Main Authors: D. Ivanenko, A. Kulik
Format: Article
Language:English
Published: VTeX 2014-06-01
Series:Modern Stochastics: Theory and Applications
Subjects:
LAN property
likelihood function
Lévy driven SDE
regular statistical experiment
Online Access:https://vmsta.vtex.vmt/doi/10.15559/vmsta-2014.1.1.4

Internet

https://vmsta.vtex.vmt/doi/10.15559/vmsta-2014.1.1.4

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