LAN property for discretely observed solutions to Lévy driven SDE’s
Volume 1, Issue 1 (2014), pp. 33–47
Pub. online: 27 June 2014
Type: Research Article
Open Access
Open Access
Received
4 April 2014
4 April 2014
Revised
30 May 2014
30 May 2014
Accepted
5 June 2014
5 June 2014
Published
27 June 2014
27 June 2014
Abstract
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 substantially the Malliavin calculus-based integral representations for derivatives of log-likelihood of the model.
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