LAN property for a simple Lévy process

DOI10.1016/J.CRMA.2014.08.013zbMATH Open1306.60048arXiv1402.4956OpenAlexW2066861308MaRDI QIDQ467698FDOQ467698

Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran

Publication date: 4 November 2014

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

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.

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)

Cites Work

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

Cited In (4)

• Estimating functions for jump-diffusions
• LAMN property for jump diffusion processes with discrete observations on a fixed time interval
• Statistical analysis for discretely observed Lévy processes
• LAN property for an ergodic diffusion with jumps

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