8 citations · 12 across the 7 of their papers we have counts for
7 papers
Parameter estimation in models generated by SDE's with symmetric alpha stable noise
D. O. Ivanenko, R. V. Pogorielov
The article considers vector parameter estimators in statistical models generated by Levy processes. An improved one step estimator is presented that can be used for improving any…
Parameter estimation in diffusion models with low regularity coefficients
Dmytro Ivanenko, Rostyslav Pogorielov
The article considers parameter estimation constructing such as quasi-maximum likelyhood estimation and one step estimation in statistical models generated by solution of stochasti…
Uniform LAN property of locally stable Lévy process observed at high frequency
Dmytro Ivanenko, Alexey M. Kulik, Hiroki Masuda
Suppose we have a high-frequency sample from the Lévy process of the form , where is a possibly asymmetric locally -stable Lévy process, and is a nuis…
Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations
D. O. Ivanenko
By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the…
LAN property for families of distributions of solutions to Levy driven SDE's
Dmytro Ivanenko, Alexey Kulik
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…
Malliavin calculus approach to statistical inference for Levy driven SDE's
D. O. Ivanenko, A. M. Kulik
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 discre…
Asymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression
Dmytro Ivanenko
The difference equations , where is a square integrable difference martingale, and the differential equation , wh…