Malliavin Calculus Approach to Statistical Inference for Lévy Driven SDE's
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9387-y |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9387-y | ||
| 245 | 0 | 0 | |a Malliavin Calculus Approach to Statistical Inference for Lévy Driven SDE's |h [Elektronische Daten] |c [D. O. Ivanenko, A. M. Kulik] |
| 520 | 3 | |a 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 θ (X t )dt + dZ t with a Lévy process Z. Using these representations, regularity of the statistical experiment and the Cramer-Rao inequality are proved. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Malliavin calculus |2 nationallicence | |
| 690 | 7 | |a Likelihood function |2 nationallicence | |
| 690 | 7 | |a Lévy driven SDE |2 nationallicence | |
| 690 | 7 | |a Regular statistical experiment |2 nationallicence | |
| 690 | 7 | |a Cramer-Rao inequality |2 nationallicence | |
| 700 | 1 | |a Ivanenko |D D. O. |u Kyiv National Taras Shevchenko University, Volodymyrska, 64, 01033, Kyiv, Ukraine |4 aut | |
| 700 | 1 | |a Kulik |D A. M. |u Institute of Mathematics, Ukrainian National Academy of Sciences, Tereshchenkivska, 3, 01601, Kyiv, Ukraine |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 107-123 |x 1387-5841 |q 17:1<107 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9387-y |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9387-y |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Ivanenko |D D. O. |u Kyiv National Taras Shevchenko University, Volodymyrska, 64, 01033, Kyiv, Ukraine |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Kulik |D A. M. |u Institute of Mathematics, Ukrainian National Academy of Sciences, Tereshchenkivska, 3, 01601, Kyiv, Ukraine |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/1(2015-03-01), 107-123 |x 1387-5841 |q 17:1<107 |1 2015 |2 17 |o 11009 | ||