LAMN property for jump diffusion processes with discrete observations on a fixed time interval

DOI10.1016/J.JSPI.2022.11.003MaRDI QIDQ6101686zbMATH OpenOpenAlexFDO

Authors Ngoc Khue Tran, H. L. Ngo

Publication date 20 June 2023

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2022.11.003

zbMATH Keywords

parameter estimationMalliavin calculusjump diffusion processLAMN propertyfixed time intervalhigh frequency observation

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) Jump processes on general state spaces (60J76)

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