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

DOI10.1016/J.SPA.2018.08.008zbMATH Open1429.62367arXiv1509.00003OpenAlexW2963922644MaRDI QIDQ2274285FDOQ2274285

Authors: Yanghui Liu, Eulalia Nualart, S. Tindel 

Publication date: 19 September 2019

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

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.

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

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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)

Cites Work

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Cited In (9)

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

Uses Software

• YUIMA

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