LAN property for a simple Lévy process

DOI10.1016/J.CRMA.2014.08.013MaRDI QIDQ467698zbMATHOpenAlexFDO

Authors Eulalia Nualart, Ngoc Khue Tran, Arturo Kohatsu-Higa

Publication date 4 November 2014

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.4956

zbMATH Keywords

Malliavin calculusBrownian motionPoisson processlikelihood ratioLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65)

Abstract: In this paper, we consider a linear model with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its intensity are unknown parameters. Supposing that the process is observed discretely at high frequency we derive the local asymptotic normality (LAN) property. In order to obtain this result, Malliavin calculus and Girsanov's theorem are applied in order to write the log-likelihood ratio in terms of sums of conditional expectations, for which a central limit theorem for triangular arrays can be applied.

Recommendations

• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
• LAN property for some fractional type Brownian motion
• LAN property for discretely observed solutions to Lévy driven SDE's
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• LAN property for ergodic diffusions with discrete observations

Cites work

• Asymptotic lower bounds in estimating jumps
• Fisher's Information for Discretely Sampled Lvy Processes
• LAMN property for hidden processes: the case of integrated diffusions
• LAN property for ergodic diffusions with discrete observations
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Quasi-likelihood analysis for the stochastic differential equation with jumps

Cited in

(11)

• LAN property for discretely observed solutions to Lévy driven SDE's
• Estimating functions for jump-diffusions
• Statistical analysis for discretely observed Lévy processes
• Second derivative of the log-likelihood in the model given by a Lévy driven SDEs
• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
• Uniform LAN property of locally stable Lévy process observed at high frequency
• LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy process
• LAMN property for hidden processes: the case of integrated diffusions
• LAMN property for jump diffusion processes with discrete observations on a fixed time interval
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• LAN property for an ergodic diffusion with jumps

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