LAN property for an ergodic diffusion with jumps

DOI10.1080/02331888.2016.1239727MaRDI QIDQ5280372zbMATH OpenOpenAlexFDO

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, http://hdl.handle.net/10230/34701

zbMATH Keywords

asymptotic efficiencyBrownian motionjump-diffusion processlocal asymptotic normalityMalliavin calculusPoisson random measure

Mathematics Subject Classification ID

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

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.

Recommendations

• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
• LAN property for ergodic diffusions with discrete observations
• LAN property for a simple Lévy process
• Asymptotic inference for jump diffusions with state-dependent intensity
• LAN property for stochastic differential equations with additive fractional noise and continuous time observation

Cites work

• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Asymptotic lower bounds in estimating jumps
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
• Estimation of an Ergodic Diffusion from Discrete Observations
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
• Exponential ergodicity of the solutions to SDE's with a jump noise
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Information bounds for inverse problems with application to deconvolution and Lévy models
• LAMN property for hidden processes: the case of integrated diffusions
• LAN property for a simple Lévy process
• LAN property for ergodic diffusions with discrete observations
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
• Local asymptotic normality for the scale parameter of stable processes.
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• Malliavin calculus in Lévy spaces and applications to finance.
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• The Malliavin Calculus and Related Topics
• Volatility estimators for discretely sampled Lévy processes

Cited in

(13)

• LAN property for ergodic diffusions with discrete observations
• Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails
• Estimating diffusion with compound Poisson jumps based on self-normalized residuals
• Estimating functions for jump-diffusions
• The nonparametric LAN expansion for discretely observed diffusions
• Asymptotic inference for jump diffusions with state-dependent intensity
• LAN property for some fractional type Brownian motion
• LAN property for a simple Lévy process
• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
• 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
• Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
• Local asymptotic properties for the growth rate of a jump-type CIR process

This page was built for publication: LAN property for an ergodic diffusion with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5280372)