LAMN property for hidden processes: the case of integrated diffusions

DOI10.1214/07-AIHP111MaRDI QIDQ731453zbMATH OpenOpenAlexFDO

Authors Arnaud Gloter, Emmanuel Gobet

Publication date 7 October 2009

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0707.0257, https://eudml.org/doc/77957

zbMATH Keywords

likelihood ratiolocal asymptotic mixed normalityconditional informationintegrated diffusion processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic calculus of variations and the Malliavin calculus (60H07) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60)

Abstract: In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process $X$. Our data are given by $in{t}_0^1{X}_{fracs+in}ddmu(s)$ for $i=0,\mathrm{...},n-1$ and the unknown parameter appears in the diffusion coefficient of the process $X$ only. Although the data are nor Markovian neither Gaussian we can write down, with help of Malliavin calculus, an explicit expression for the log-likelihood of the model, and then study the asymptotic expansion. We actually find that the asymptotic information of this model is the same one as for a usual discrete sampling of $X$.

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Cited in

(14)

• Asymptotic lower bounds in estimating jumps
• Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
• LAN property for a simple Lévy process
• Nonparametric adaptive estimation for integrated diffusions
• LAN and LAMN for systems of interacting diffusions with branching and immigration
• Local asymptotic mixed normality of transformed Gaussian models for random fields
• Strong consistency of nonparametric kernel estimators for integrated diffusion process
• Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
• Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
• Adaptive nonparametric drift estimation of an integrated jump diffusion process
• 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 mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• LAN property for an ergodic diffusion with jumps

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