LAN property for an ergodic diffusion with jumps

DOI10.1080/02331888.2016.1239727zbMATH Open1369.60054arXiv1506.00776OpenAlexW2345226953MaRDI QIDQ5280372FDOQ5280372

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

Publication date: 20 July 2017

Published in: Statistics (Search for Journal in Brave)

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.

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

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

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)

Cites Work

• Title not available (Why is that?)
• Malliavin calculus in Lévy spaces and applications to finance.
• The Malliavin Calculus and Related Topics
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Volatility estimators for discretely sampled Lévy processes
• LAN property for ergodic diffusions with discrete observations
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Estimation of an Ergodic Diffusion from Discrete Observations
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Asymptotic lower bounds in estimating jumps
• Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
• 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 mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• Local asymptotic normality for the scale parameter of stable processes.
• LAN property for a simple Lévy process
• Information bounds for inverse problems with application to deconvolution and Lévy models
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes

Cited In (12)

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

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)