Local asymptotic quadraticity of statistical experiments connected with a Heston model

DOI10.14232/ACTASM-016-506-XMaRDI QIDQ4634937zbMATH OpenOpenAlexFDO

Authors János Marcell Benke, Gyula Pap

Publication date 12 April 2018

Published in Acta Scientiarum Mathematicarum (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.03664

zbMATH Keywords

asymptotic efficiency in the convolution theorem senseasymptotically optimal testsHeston modellocal asymptotic minimax bound for estimatorslocal asymptotic mixed normalitylocal asymptotic normalitylocal asymptotic quadricity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Statistical methods; risk measures (91G70)

Abstract: We study local asymptotic properties of likelihood ratios of certain Heston models. We distinguish three cases: subcritical, critical and supercritical models. For the drift parameters, local asymptotic normality is proved in the subcritical case, only local asymptotic quadraticity is shown in the critical case, while in the supercritical case not even local asymptotic quadraticity holds. For certain submodels, local asymptotic normality is proved in the critical case, and local asymptotic mixed normality is shown in the supercritical case. As a consequence, asymptotically optimal (randomized) tests are constructed in cases of local asymptotic normality. Moreover, local asymptotic minimax bound, and hence, asymptotic efficiency in the convolution theorem sense are concluded for the maximum likelihood estimators in cases of local asymptotic mixed normality.

Recommendations

• Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
• Local asymptotic mixed normality for semimartingale experiments
• scientific article; zbMATH DE number 1400030
• Asymptotic arbitrage in the Heston model

Cited in

(6)

• LAMN property for multivariate inhomogeneous diffusions with discrete observations
• On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
• Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
• LAQ property for singular drift parameters of diffusions with discrete observations
• Asymptotic behavior of improved trajectory fitting estimators for Cox-Ingersoll-Ross model
• Nearly unstable family of stochastic processes given by stochastic differential equations with time delay

This page was built for publication: Local asymptotic quadraticity of statistical experiments connected with a Heston model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4634937)