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

MaRDI QIDQ3465409zbMATH OpenFDO

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

Publication date 21 January 2016

Full work available at URL https://arxiv.org/abs/1411.1516, http://alea.impa.br/articles/v12/12-32.pdf

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)

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.

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(10)

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