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Theory of Probability and Mathematical Statistics

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A method for checking efficiency of estimators in statistical models driven by Lévy's noise


Authors: S. V. Bodnarchuk and D. O. Ivanenko
Translated by: N. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 92 (2015).
Journal: Theor. Probability and Math. Statist. 92 (2016), 1-15
MSC (2010): Primary 62F12; Secondary 60G51
DOI: https://doi.org/10.1090/tpms/978
Published electronically: August 10, 2016
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Abstract | References | Similar Articles | Additional Information

Abstract: A method for checking the efficiency of estimators of unknown parameters is proposed for statistical models with observations described by a stochastic differential equation driven by Lévy's noise.


References [Enhancements On Off] (What's this?)

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Additional Information

S. V. Bodnarchuk
Affiliation: Department of Mathematical Analysis and Probability Theory, National Technical University of Ukraine “KPI”, Peremogy Avenue 37, 03056, Kyiv, Ukraine

D. O. Ivanenko
Affiliation: Department of Mathematics and Theoretical Radiophysics, Faculty for Radiophysics, Electronics, and Computer Systems, Taras Shevchenko National University of Kyiv, Academician Glushkov Avenue, 4, Kyiv 03127, Ukraine
Email: ida@univ.net.ua

DOI: https://doi.org/10.1090/tpms/978
Keywords: Asymptotic efficiency, local asymptotic normality, L\'evy processes, stochastic differential equations
Received by editor(s): May 21, 2015
Published electronically: August 10, 2016
Article copyright: © Copyright 2016 American Mathematical Society

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