LAMN property for hidden processes: the case of integrated diffusions (Q731453)

A diffusion process \(X_t\) is considered satisfying the (scalar) equation \[ dX_t=a(X_t,\vartheta)dB_t+b(X_t)dt, \] \(B\) being a Brownian motion, where \(\vartheta\in \mathbb R\) is an unknown parameter. The observations are integrated, i.e., \[ \bar X_j=\int_0^1 X_{(s+j)/n}d\mu(s)\quad \text{for } j=0,\dots,n-1, \] where \(\mu\) is some fixed known measure on \([0,1]\). The authors demonstrate that the likelihood ratio of the observations satisfys the local asymptotic mixed normality (LAMN) property with the conditional information \(I_\vartheta=2\int_0^1 (a'_\vartheta/a)^2(X_s,\vartheta)ds\), which is the same for the conditional information of non-integrated observations \(X_{j/n}\), \(j=0,1,\dots,n-1\). So the asymptotically optimal estimates for \(\vartheta\) have the same convergence rates for integrated and non-integrated observations. The proof is based on an explicit expression for the log-likelihood derived by a Malliavin calculus technique.