Local asymptotic normality property for fractional Gaussian noise under high-frequency observations (Q1800793)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local asymptotic normality property for fractional Gaussian noise under high-frequency observations |
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Local asymptotic normality property for fractional Gaussian noise under high-frequency observations (English)
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24 October 2018
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Local Asymptotic Normality (LAN) is proven for fractional Gaussian noise under high-frequency observations. The idea is the use of nondiagonal rate matrices. The self-similarity property is the key for this analysis. The paper is well-organized with correct mathematical formulation of the definitions and theorems, using very interesting principles.
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locally asymptotically normal families
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fractional Brownian motion
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high-frequency data
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maximum likelihood estimators
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likelihood ratio test
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