Theory of Probability and Mathematical Statistics
A method for checking efficiency of estimators in statistical models driven by Lévy's noise
S. V. Bodnarchuk, D. O. Ivanenko
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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.
Keywords: Asymptotic efficiency, local asymptotic normality, Lévy's processes, stochastic differential equations
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