Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling

DOI10.1007/s10959-012-0455-yzbMath1281.62175OpenAlexW1976662730MaRDI QIDQ2636938

Reiichiro Kawai

Publication date: 18 February 2014

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-012-0455-y

zbMATH Keywords

rate of convergenceMalliavin calculusFisher informationLévy processoptimal estimationhigh frequency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

LAN property for an ergodic diffusion with jumps, Optimal statistical inference for subdiffusion processes, LAMN property for jump diffusion processes with discrete observations on a fixed time interval, LAN property for a simple Lévy process, Estimating functions for jump-diffusions, Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails, Local asymptotic normality property for fractional Gaussian noise under high-frequency observations, Asymptotic Inference for Jump Diffusions with State-Dependent Intensity

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