Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation

DOI10.3150/22-BEJ1544MaRDI QIDQ6160980zbMATH OpenOpenAlexFDO

Authors Teppei Ogihara, Yuma Uehara

Publication date 2 June 2023

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bernoulli/volume-29/issue-3/Local-asymptotic-normality-for-ergodic-jump-diffusion-processes-via-transition/10.3150/22-BEJ1544.full

zbMATH Keywords

Malliavin calculusjump-diffusion processesasymptotically efficient estimatorlocal asymptotic mixed normalityasymptotically uniformly most powerful test\({L^2}\) regularity conditionthresholding techniques

Mathematics Subject Classification ID

Parametric inference (62Fxx) Diffusion processes (60J60) Stochastic analysis (60Hxx) Jump processes on discrete state spaces (60J74)

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Cited in

(3)

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