Statistical Inference and Malliavin Calculus

DOI10.1007/978-3-0348-0021-1_4zbMath1390.60256OpenAlexW2269053998MaRDI QIDQ2904869

José Manuel Corcuera, Arturo Kohatsu-Higa

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_4

zbMATH Keywords

Malliavin calculusdiffusion processesjump-diffusion processesparametric estimationscore functionCramer-Rao lower boundLAMN propertyLAN property

Mathematics Subject Classification ID

Related Items (2)

Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes ⋮ Malliavin calculus approach to statistical inference for Lévy driven SDE's

Cites Work

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• Stein estimation of Poisson process intensities
• Superefficient drift estimation on the Wiener space
• Canonical Lévy process and Malliavin calculus
• Stein estimation for the drift of Gaussian processes using the Malliavin calculus
• Some classes of global Cramér-Rao bounds
• Statistical inference for ergodic diffusion processes.
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Malliavin Monte Carlo Greeks for jump diffusions
• The Malliavin Calculus and Related Topics

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