Local asymptotic properties for the growth rate of a jump-type CIR process

arXiv1903.00358MaRDI QIDQ6314879FDOQ6314879

Authors: Mohamed Ben Alaya, Ahmed Kebaier, Gyula Pap, Ngoc Khue Tran 

Publication date: 28 February 2019

Abstract: In this paper, we consider a one-dimensional jump-type Cox-Ingersoll-Ross process driven by a Brownian motion and a subordinator, whose growth rate is a unknown parameter. The L'evy measure of the subordinator is finite or infinite. Considering the process observed continuously or discretely at high frequency, we derive the local asymptotic properties for the growth rate in both ergodic and non-ergodic cases. Three cases are distinguished: subcritical, critical and supercritical. Local asymptotic normality (LAN) is proved in the subcritical case, local asymptotic quadraticity (LAQ) is derived in the critical case, and local asymptotic mixed normality (LAMN) is shown in the supercritical case. To do so, techniques of Malliavin calculus and a subtle analysis on the jump structure of the subordinator involving the amplitude of jumps and number of jumps are essentially used.

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