LAN property for an ergodic Ornstein–Uhlenbeck process with Poisson jumps

DOI10.1080/03610926.2016.1167908zbMATH Open1372.60077arXiv1506.07270OpenAlexW2207799456MaRDI QIDQ5367278FDOQ5367278

Ngoc Khue Tran

Publication date: 12 October 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Abstract: In this paper, we consider an ergodic Ornstein-Uhlenbeck process with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its jump intensity depend on unknown parameters. Considering the process discretely observed at high frequency, we derive the local asymptotic normality property. To obtain this result, Malliavin calculus and Girsanov's theorem are applied 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/1506.07270

zbMATH Keywords

Malliavin calculusparametric estimationlocal asymptotic normality propertyOrnstein-Uhlenbeck process with jumps

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cited In (5)

• Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
• LAN property for ergodic diffusions with discrete observations
• 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

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