LAN property for families of distributions of solutions to Levy driven SDE's
Ivanenko, Dmytro · Kulik, Alexey
Original · EN
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 a 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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