Uniform LAN property of locally stable Lévy process observed at high frequency

zbMATH Open1331.60078arXiv1411.1516MaRDI QIDQ3465409FDOQ3465409

Authors: A. M. Kulik, Hiroki Masuda, D. O. Ivanenko 

Publication date: 21 January 2016

Abstract: Suppose we have a high-frequency sample from the L'{e}vy process of the form $$, where $Z$ is a possibly asymmetric locally $alpha$-stable L'{e}vy process, and $U$ is a nuisance L'{e}vy process less active than $Z$. We prove the LAN property about the explicit parameter $$ under very mild conditions without specific form of the L'{e}vy measure of $Z$, thereby generalizing the LAN result of A"{i}t-Sahalia and Jacod (2007). In particular, it is clarified that a non-diagonal norming may be necessary in the truly asymmetric case. Due to the special nature of the local $alpha$-stable property, the asymptotic Fisher information matrix takes a clean-cut form.

Full work available at URL: https://arxiv.org/abs/1411.1516

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zbMATH Keywords

likelihood functionhigh-frequency samplingregular statistical experimentlocally stable Lévy processuniform LAN property

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic distribution theory in statistics (62E20) Stable stochastic processes (60G52)

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• Title not available (Why is that?)
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