LAN property for an ergodic diffusion with jumps

DOI10.1080/02331888.2016.1239727MaRDI QIDQ5280372zbMATHOpenAlexFDO

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

Publication date 20 July 2017

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.00776

zbMATH Keywords

Malliavin calculusasymptotic efficiencyBrownian motionPoisson random measurelocal asymptotic normalityjump-diffusion process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Brownian motion (60J65) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a pure-jump L'evy process with finite L'evy measure, whose drift coefficient depends on an unknown parameter. Considering the process discretely observed at high frequency, we derive the local asymptotic normality (LAN) property.

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Cited in

(12)

• Estimating functions for jump-diffusions
• LAN property for some fractional type Brownian motion
• LAN property for ergodic diffusions with discrete observations
• LAN property for a simple Lévy process
• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
• The nonparametric LAN expansion for discretely observed diffusions
• Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• LAMN property for jump diffusion processes with discrete observations on a fixed time interval
• Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
• Asymptotic inference for jump diffusions with state-dependent intensity

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