LAN property for an ergodic diffusion with jumps

DOI10.1080/02331888.2016.1239727zbMath1369.60054arXiv1506.00776OpenAlexW2345226953MaRDI QIDQ5280372

Ngoc Khue Tran, Eulalia Nualart, Arturo Kohatsu-Higa

Publication date: 20 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00776

zbMATH Keywords

Brownian motionMalliavin calculusasymptotic efficiencylocal asymptotic normalityPoisson random measurejump-diffusion process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

LAMN property for jump diffusion processes with discrete observations on a fixed time interval ⋮ Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions ⋮ Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation ⋮ Estimating diffusion with compound Poisson jumps based on self-normalized residuals ⋮ Estimating functions for jump-diffusions ⋮ Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails

Cites Work

• Unnamed Item
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Asymptotic lower bounds in estimating jumps
• Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
• LAN property for a simple Lévy process
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• LAMN property for hidden processes: the case of integrated diffusions
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Information bounds for inverse problems with application to deconvolution and Lévy models
• Volatility estimators for discretely sampled Lévy processes
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Malliavin calculus in Lévy spaces and applications to finance.
• Local asymptotic normality for the scale parameter of stable processes.
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• LAN property for ergodic diffusions with discrete observations
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• The Malliavin Calculus and Related Topics
• Estimation of an Ergodic Diffusion from Discrete Observations
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling

This page was built for publication: LAN property for an ergodic diffusion with jumps