LAN property for stochastic differential equations with additive fractional noise and continuous time observation

DOI10.1016/J.SPA.2018.08.008MaRDI QIDQ2274285zbMATH OpenOpenAlexFDO

Authors Yanghui Liu, Eulalia Nualart, S. Tindel

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.00003

zbMATH Keywords

ergodicityparameter estimationfractional Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider a stochastic differential equation with additive fractional noise with Hurst parameter $H>1/2$, and a non-linear drift depending on an unknown parameter. We show the Local Asymptotic Normality property (LAN) of this parametric model with rate $sqrtau$ as $auightarrowinfty$, when the solution is observed continuously on the time interval $[0,au]$. The proof uses ergodic properties of the equation and a Girsanov-type transform. We analyse the particular case of the fractional Ornstein-Uhlenbeck process and show that the Maximum Likelihood Estimator is asymptotically efficient in the sense of the Minimax Theorem.

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Cited in

(9)

• LAN property for discretely observed solutions to Lévy driven SDE's
• Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
• Asymptotic normality of least squares type estimators to stochastic differential equations driven by fractional Brownian motions
• Local asymptotic normality for shape and periodicity of a signal in the drift of a degenerate diffusion with internal variables
• LAN property for some fractional type Brownian motion
• LAN property for ergodic diffusions with discrete observations
• An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
• LAN property for an ergodic diffusion with jumps
• Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean

Describes a project that uses

Uses Software

• YUIMA

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