LAMN property for hidden processes: the case of integrated diffusions

DOI10.1214/07-AIHP111zbMATH Open1182.62170arXiv0707.0257OpenAlexW2069700865MaRDI QIDQ731453FDOQ731453

Authors: Arnaud Gloter, Emmanuel Gobet 

Publication date: 7 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process $X$. Our data are given by $in{t}_0^1{X}_{fracs+in}ddmu(s)$ for $i=0,\mathrm{...},n-1$ and the unknown parameter appears in the diffusion coefficient of the process $X$ only. Although the data are nor Markovian neither Gaussian we can write down, with help of Malliavin calculus, an explicit expression for the log-likelihood of the model, and then study the asymptotic expansion. We actually find that the asymptotic information of this model is the same one as for a usual discrete sampling of $X$.

Full work available at URL: https://arxiv.org/abs/0707.0257

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zbMATH Keywords

likelihood ratiolocal asymptotic mixed normalityconditional informationintegrated diffusion processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic calculus of variations and the Malliavin calculus (60H07) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60)

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Cited In (14)

• Asymptotic lower bounds in estimating jumps
• Local asymptotic mixed normality property for nonsynchronously observed diffusion processes
• LAN and LAMN for systems of interacting diffusions with branching and immigration
• Local asymptotic mixed normality of transformed Gaussian models for random fields
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Nonparametric adaptive estimation for integrated diffusions
• Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
• Adaptive nonparametric drift estimation of an integrated jump diffusion process
• LAMN property for jump diffusion processes with discrete observations on a fixed time interval
• Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process
• LAN property for a simple Lévy process
• Strong consistency of nonparametric kernel estimators for integrated diffusion process
• Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
• LAN property for an ergodic diffusion with jumps

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