The nonparametric LAN expansion for discretely observed diffusions

DOI10.1214/19-EJS1545MaRDI QIDQ2414495zbMATH OpenOpenAlexFDO

Authors Sven Wang

Publication date 17 May 2019

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.02009, https://projecteuclid.org/euclid.ejs/1554451244

zbMATH Keywords

LAN propertynonparametric diffusion modelparabolic PDE

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Consider a scalar reflected diffusion $(X_t:tgeq0)$, where the unknown drift function $b$ is modelled nonparametrically. We show that in the low frequency sampling case, when the sample consists of $(X_0,X_{D}elta,\mathrm{...},X_{nDelta})$ for some fixed sampling distance $Delta>0$, the model satisfies the local asymptotic normality (LAN) property, assuming that $b$ satisfies some mild regularity assumptions. This is established by using the connections of diffusion processes to elliptic and parabolic PDEs. The key tools will be regularity estimates from the theory of parabolic PDEs as well as a detailed analysis of the spectral properties of the elliptic differential operator related to $(X_t:tgeq0)$.

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(6)

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