LAMN property for multivariate inhomogeneous diffusions with discrete observations

DOI10.1214/22-EJS2049MaRDI QIDQ2168085zbMATH OpenOpenAlexFDO

Authors Ngoc Khue Tran, H. L. Ngo

Publication date 31 August 2022

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/LAMN-property-for-multivariate-inhomogeneous-diffusions-with-discrete-observations/10.1214/22-EJS2049.full

zbMATH Keywords

Malliavin calculusasymptotic efficiencynon-ergodic diffusionlocal asymptotic mixed normality propertymultivariate inhomogeneous diffusion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60)

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Cited in

(1)

• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes

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