Abstract
The aim of this paper is to show the existence of drift estimators dominating the standard one in continuous-time models of the form $X_{t}=u_{t}+Z_{t}$, where $u_{t}$ is the drift and $Z_{t}$ is either a Brownian martingale or a non-martingale noise living in the second Wiener chaos. Our results are based on the use of Malliavin calculus techniques, and extend previous findings of Privault and Réveillac (2008).
Citation
Christian Krein. "Drift estimation with non-gaussian noise using Malliavin Calculus." Electron. J. Statist. 9 (2) 2976 - 3045, 2015. https://doi.org/10.1214/15-EJS1101
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