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math.PR2014★ 8 cited
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…
math.PR2014★ 1 cited
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…
math.PR2013★ 1 cited
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…